Timeline for Supremum process of a Cauchy RV
Current License: CC BY-SA 4.0
7 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Jul 23, 2023 at 15:44 | comment | added | user169291 | Just to let you know that the authors have responded and have been exceedingly kind. I'll update the question with what I've found out | |
| Jul 22, 2023 at 22:11 | comment | added | user169291 | 1) Thanks, this was my first question on MO and I was worried it wasn't of sufficient quality 2) In his book, Spitzer refers to this paper. But does this approach not require Wiener-Hopf factorization as well, which could lead to serious convergence issues especially for stable processes? If you claim the contrary, however, I will of course work it out in detail | |
| Jul 22, 2023 at 5:32 | comment | added | mike | if I downvoted, it was by accident & I'll try to fix it. | |
| Jul 21, 2023 at 14:52 | comment | added | user169291 | Thank you, I'll have a look. Also, why the downvote? | |
| Jul 21, 2023 at 14:04 | comment | added | mike | two comments: Spitzer's formula gives the distribution of the max of a random walk, and probably uses the same technique. You could find it in SPitzers random walk book, and it might avoid some technical mess. 2. as to your 2,, this is often finding the laplace transform of the thing you are looking for. | |
| S Jul 21, 2023 at 11:59 | review | First questions | |||
| Jul 21, 2023 at 12:35 | |||||
| S Jul 21, 2023 at 11:59 | history | asked | user169291 | CC BY-SA 4.0 |