文章基本信息

标题：Subordinated Brownian Motion: Last Time the Process Reaches its Supremum
作者：Stergios B. Fotopoulos ; Venkata K. Jandhyala ; Yuxing Luo 等
期刊名称：Sankhya. Series A, mathematical statistics and probability
印刷版ISSN：0976-836X
电子版ISSN：0976-8378
出版年度：2015
卷号：77
期号：1
页码：46-64
DOI：10.1007/s13171-014-0061-4
语种：English
出版社：Indian Statistical Institute
摘要：The article develops a theory for the last time the subordinated Brownian motion ( SBM with negative drift reaches its supremum. The study includes obtaining expressions for the Laplace transform of the last time that the SBM reaches its supremum and also for its density. In the process, we establish that the last time that the SBM reaches its supremum is a member of the generalized gamma convolution ( GGC ) family. The theoretical results for the general case have been explicitly derived for some well-known subordinators. Numerical investigations show close agreement between the theoretical derivations and empirical computations.
关键词：Subordinated Brownian motion ; Brownian motion with negative drift ; Wiener-Hopf factorization ; generalized gamma convolution