R. Doney

activity

20042023

most citedThe asymptotic behavior of densities related to the supremum of a stable process

32 citations · 144 across the 14 of their papers we have counts for

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Showing 2010 · math.PRShow all

2 papers · 2 filters

math.PR2010★ 1 cited

Local behaviour of first passage probabilities

Ronald Doney

Suppose that S is an asymptotically stable random walk with norming sequence c_{n} and that T_{x} is the time that S first enters (x,\inf), where x\ge 0. The asymptotic behaviour o…

math.PR2010★ 32 cited

The asymptotic behavior of densities related to the supremum of a stable process

R. A. Doney, M. S. Savov

If $X$ is a stable process of index $α \in (0, 2)$ whose Lévy measure has density $c x^{- α - 1}$ on $(0, \infty)$ , and $S_{1} = sup_{0 < t \leq 1} X_{t}$ , it is known that $P(S_1>x)\backsim Aα^{-1}…