Wiener-Hopf factorization and distribution of extrema for a family of L\'{e}vy processes

In this paper we introduce a ten-parameter family of L\'{e}vy processes for which we obtain Wiener-Hopf factors and distribution of the supremum process in semi-explicit form. This family allows an arbitrary behavior of small jumps and includes processes similar to the generalized tempered stable, KoBoL and CGMY processes. Analytically it is characterized by the property that the characteristic exponent is a meromorphic function, expressed in terms of beta and digamma functions. We prove that the Wiener-Hopf factors can be expressed as infinite products over roots of a certain transcendental equation, and the density of the supremum process can be computed as an exponentially converging infinite series. In several special cases when the roots can be found analytically, we are able to identify the Wiener-Hopf factors and distribution of the supremum in closed form. In the general case we prove that all the roots are real and simple, and we provide localization results and asymptotic formulas which allow an efficient numerical evaluation. We also derive a convergence acceleration algorithm for infinite products and a simple and efficient procedure to compute the Wiener-Hopf factors for complex values of parameters. As a numerical example we discuss computation of the density of the supremum process.Comment: Published in at http://dx.doi.org/10.1214/09-AAP673 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Explicit Hermite-type eigenvectors of the discrete Fourier transform

The search for a canonical set of eigenvectors of the discrete Fourier transform has been ongoing for more than three decades. The goal is to find an orthogonal basis of eigenvectors which would approximate Hermite functions -- the eigenfunctions of the continuous Fourier transform. This eigenbasis should also have some degree of analytical tractability and should allow for efficient numerical computations. In this paper we provide a partial solution to these problems. First, we construct an explicit basis of (non-orthogonal) eigenvectors of the discrete Fourier transform, thus extending the results of [7]. Applying the Gramm-Schmidt orthogonalization procedure we obtain an orthogonal eigenbasis of the discrete Fourier transform. We prove that the first eight eigenvectors converge to the corresponding Hermite functions, and we conjecture that this convergence result remains true for all eigenvectors.Comment: 21 pages, 4 figures, 1 tabl

On extrema of stable processes

We study the Wiener--Hopf factorization and the distribution of extrema for general stable processes. By connecting the Wiener--Hopf factors with a certain elliptic-like function we are able to obtain many explicit and general results, such as infinite series representations and asymptotic expansions for the density of supremum, explicit expressions for the Wiener--Hopf factors and the Mellin transform of the supremum, quasi-periodicity and functional identities for these functions, finite product representations in some special cases and identities in distribution satisfied by the supremum functional.Comment: Published in at http://dx.doi.org/10.1214/10-AOP577 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org

Asymptotic approximations to the Hardy-Littlewood function

The function $Q(x):=\sum_{n\ge 1} (1/n) \sin(x/n)$ was introduced by Hardy and Littlewood [10] in their study of Lambert summability, and since then it has attracted attention of many researchers. In particular, this function has made a surprising appearance in the recent disproof by Alzer, Berg and Koumandos [1] of a conjecture by Clark and Ismail [2]. More precisely, Alzer et. al. [1] have shown that the Clark and Ismail conjecture is true if and only if $Q(x)\ge -\pi/2$ for all $x>0$. It is known that $Q(x)$ is unbounded in the domain $x \in (0,\infty)$ from above and below, which disproves the Clark and Ismail conjecture, and at the same time raises a natural question of whether we can exhibit at least one point $x$ for which $Q(x) < -\pi/2$. This turns out to be a surprisingly hard problem, which leads to an interesting and non-trivial question of how to approximate $Q(x)$ for very large values of $x$. In this paper we continue the work started by Gautschi in [7] and develop several approximations to $Q(x)$ for large values of $x$. We use these approximations to find an explicit value of $x$ for which $Q(x)<-\pi/2$.Comment: 16 pages, 3 figures, 2 table