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Published in:
2002 | OriginalPaper | Chapter
Laplace Transforms and Suprema of Stochastic Processes
Author : Klaus Schürger
Published in: Advances in Finance and Stochastics
Publisher: Springer Berlin Heidelberg
Included in: Professional Book Archive
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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 to certain first passage times gives explicit formulae for moments of suprema of Bessel processes as well as strictly stable Lévy processes having no positive jumps.