Zooming in on a Lévy process at its supremum (Q1650094): Difference between revisions

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+.04471
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+Discretization error in simulation of one-dimensional reflecting Brownian motion
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+Approximations of small jumps of Lévy processes with a view towards simulation
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+Small time Chung-type LIL for Lévy processes
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+Functional limit theorems for Lévy processes satisfying Cramér's condition
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+Splitting at the infimum and excursions in half-lines for random walks and Lévy processes
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+Passage of Lévy processes across power law boundaries at small times
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+A Continuity Correction for Discrete Barrier Options
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+Connecting discrete and continuous path-dependent options
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+Conditioned stable Lévy processes and the Lamperti representation
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+Invariance principles for random walks conditioned to stay positive
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+Conditionings and path decompositions for Lévy processes
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+On the law of the supremum of Lévy processes
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+On Lévy processes conditioned to stay positive
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+Invariance principles for local times at the maximum of random walks and Lévy processes
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+On Approximations of Small Jumps of Subordinators with Particular Emphasis on a Dickman-Type Limit
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+Connecting discrete and continuous lookback or hindsight options in exponential Lévy models
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+Fluctuation theory for Lévy processes. Ecole d'Eté de probabilités de Saint-Flour XXXV -- 2005.
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+Stability and attraction to normality for Lévy processes at zero and at infinity
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+Path decompositions for real Lévy processes
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+Multilevel Monte Carlo simulation for Lévy processes based on the Wiener-Hopf factorisation
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+Fluctuation identities for lévy processes and splitting at the maximum
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+Lévy processes with negative drift conditioned to stay positive
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+Discretization of processes.
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+Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes
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+First passage times for subordinate Brownian motions
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+Suprema of Lévy processes
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+Introductory lectures on fluctuations of Lévy processes with applications.
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+Semi-Stable Stochastic Processes
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+Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms
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+Small-time versions of Strassen's law for Lévy processes
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+Strong laws at zero for trimmed Lévy processes
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+The distribution of the supremum for spectrally asymmetric Lévy processes
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+Heavy-Tail Phenomena
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+Asymptotic Statistics
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+Some Useful Functions for Functional Limit Theorems
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+Stochastic-Process Limits
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+Publication:1650094