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Theory and applications of Lévy processes (stochastic processes with stationary and independent increments): e.g. path properties, stochastic differential equations driven by jump-type processes, fluctuation theory of Lévy processes, queuing theory.

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Supremum process of a Cauchy RV

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 s …
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