Tag Archives: levy process

Numerical computation of the distribution of the supremum functional

Let be a Lévy process with Lévy-Khintchin exponent for a complete Bernstein function (some examples below). Let be the supremum functional of . Given some growth condition on , a formula for was given in my recent preprint written with … Continue reading

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π/2 conjecture

The second conjecture in this blog is related to my recent work on Lévy processes. Suppose that x and y are positive reals, and is an increasing function. Then, whenever the integral makes sense, it is equal to . Although … Continue reading

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