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Z
itX(1) itx ex
E[e ] = exp[ [e 1] dx
0 x
ex ex ex
dx = 1x dx + 1x dx
x x x
with tow processes X (t) and X consisting entirely of jumps that are smaller than and
larger than respectively. If Y is the largest jump of X(t) = X (t)+X (t) during 0 t 1,
then the joint distribution of X = X(1) and Y can be computed.
P [X b, Y ] = P [X (1) = 0, X (1) b]
= P [X (1) = 0] P [X (1) b]
Z x Z b
e
exp[ dx] f (y)dy
x 0
where Z Z
1 itx ex
f (y) = exp[ [e 1] dx]eity dt
2 0 x
Change the contour to i , i + , i.e t i + t. Then
Z Z
1 ex
f (y) = exp[ [ex+itx 1] dx]eyity dt
2 0 x
y Z Z
e dx ity
= exp[ [eitx ex ]
]e dt
2 0 x
y Z Z Z
e 1 ex dx
= exp[ dx] exp[ [eitx 1] ]eity dt
2 0 x 0 x
y Z Z Z 1
e 1 ex dx
= exp[ dx] exp[ [eitx 1] ]eity dt
2 0 x 0 x
y Z Z Z 1
e 1 ex dx
exp[ [eitx 1] ]eit y dt
1
= exp[ dx]
2 0 x 0 x
y Z
e 1 ex y
= exp[ dx]( )
0 x
with Z Z
1
1 dx ity
(y) = exp[ [eitx 1] ]e dt
2 0 x