Template-Type: ReDIF-Paper 1.0
Title: Laplace transforms and suprema of stochastic processes
Author-Name: Klaus Schürger
Author-Email: 
Classification-JEL: G12 
Keywords: Laplace transform, Bessel processes, Levy process 
Abstract: It is shown that moments of negative order as well as positive non-
	integral order of a nonnegative random variable X can be expressed by the 
	Laplace transform of X. Applying these results of certain first passage times 
	gives explicit formulae for moments of suprema of Bessel processes as well as 
	strictly stable Levy processes having no positive jumps. 
Note: 
Length: 12
Creation-Date: 2002-05	
Revision-Date: 
File-URL: http://www.wiwi.uni-bonn.de/bgsepapers/bonedp/bgse10_2002.pdf
File-Format: application/pdf
Handle: RePEc:bon:bonedp:bgse10_2002