6 research outputs found
Potentials of stable processes
For a stable process, we give an explicit formula for the potential measure
of the process killed outside a bounded interval and the joint law of the
overshoot, undershoot and undershoot from the maximum at exit from a bounded
interval. We obtain the equivalent quantities for a stable process reflected in
its infimum. The results are obtained by exploiting a simple connection with
the Lamperti representation and exit problems of stable processes.Comment: 10 page