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I've asked the same question on stats.stackexchange a week ago to no avail, so here we go again:


Suppose $X_i$ are $\mathrm{Cauchy}(0,~\gamma)$ IID RV's. Does an expression exist for the CDF of the supremum process of their sum?


After a literature review (of a matter that is unfortunately beyond my field of study), I've come across a paper by Boyarchenko and Levendorskiĭ that, to the best of my understanding, is the only one that doesn't consider the limiting case and claims the following:

For a Lévy process $X$ and its supremum process $\bar{X}=\sup_{0\leq s \leq t} X_s$, the CDF of the supremum process is given by

$$ \begin{align} P(x+\bar{X}_T \leq a) &= \mathbb{E}\left[\mathbf{1}_{x+\bar{X}_T\leq a}\right]\\ &= 1 - \mathbb{E}\left[\mathbf{1}_{x+\bar{X}_T>a}\right]\\ &= 1 - \frac{1}{2\pi i} \int_{\mathrm{Re}~q = \sigma} \frac{1}{q} \left(\mathcal{E}_q^+\mathbf{1}_{a,~+\infty}\right)(x) \end{align} $$

where $x$ is the initial value of the process $X_T$. They then go on to evaluate the $\mathcal{E}$ term in the integrand as

$$ \left(\mathcal{E}_q^+\mathbf{1}_{a,~+\infty}\right)(x) = \frac{1}{\pi}~\mathrm{Im}\int_{-\infty}^{\infty}e^{i(x-a)\xi}\left( \phi_q^+(\xi)-a_q^+ - \frac{1-a_q^+}{1+i\xi} \right)~\mathrm{d}y $$

after a change variables $\xi = \xi(y)=\exp\left(i\omega_-+y\right)$ where $\omega_-$ is apparently a given and mentioned in one of their earlier papers as well. In my case, I believe $\phi_q^+$ to be given by

$$ \phi_q^+(\xi) = \exp\left( \frac{1}{2\pi i} \int_{ e^{i(-\pi-\omega_-)}\mathbb{R}_+ ~\cup~ e^{i\omega_-}\mathbb{R}_+ } \frac{\xi \ln\left(1 + \psi_\mathrm{st}(\eta)\cdot q^{-1}\right)}{\eta\cdot(\xi-\eta)} \right) $$

where

$$ \psi^\mathrm{st}(\xi) = \xi \cdot (\gamma\pi-i\mu) $$

by virtue of lemmas 4.2 and 2.2 respectively.

So, here are my questions:

  1. How to obtain $a_q^+$ in the expression for $\left(\mathcal{E}_q^+\mathbf{1}_{a,~+\infty}\right)(x)$ in the Bromwich integral? Lemmas 4.3 and 4.6 seemingly do not cover the case when $c_+=c_-=\gamma$.

  2. The above method relies upon Wiener-Hopf. Why does an independent exponentially distributed variable ($T_q$) with mean $q^{-1}$ need to be introduced? What does $q$ physically represent?

  3. Analogously, what does $\omega_-$ represent? The authors only give a loose bound. Does a heuristic exist for its selection?

  4. Do you figure a straightforward way exists to condition the supremum process on the path of $X_T$ itself?

I've attempted contacting the authors, again, to no avail as of yet. Thank you very much for any help you can provide.

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  • $\begingroup$ 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. $\endgroup$
    – mike
    Commented Jul 21, 2023 at 14:04
  • $\begingroup$ Thank you, I'll have a look. Also, why the downvote? $\endgroup$
    – user169291
    Commented Jul 21, 2023 at 14:52
  • $\begingroup$ if I downvoted, it was by accident & I'll try to fix it. $\endgroup$
    – mike
    Commented Jul 22, 2023 at 5:32
  • $\begingroup$ 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 $\endgroup$
    – user169291
    Commented Jul 22, 2023 at 22:11
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    $\begingroup$ 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 $\endgroup$
    – user169291
    Commented Jul 23, 2023 at 15:44

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