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math.PR2022
Efficient evaluation of expectations of functions of a stable Lévy process and its extremum
Svetlana Boyarchenko, Sergei Levendorskiĭ
Integral representations for expectations of functions of a stable Lévy process and its supremum are derived. As examples, cumulative probability distribution function…
math.PR2022
Efficient evaluation of expectations of functions of a Lévy process and its extremum
Svetlana Boyarchenko, Sergei Levendorskiĭ
We prove simple general formulas for expectations of functions of a Lévy process and its running extremum. Under additional conditions, we derive analytical formulas using the Four…