Fluctuation theory for Lévy processes with completely monotone jumps (Q2631866): Difference between revisions

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Language	Label	Description	Also known as
English	Fluctuation theory for Lévy processes with completely monotone jumps	scientific article

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scholarly article

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Fluctuation theory for Lévy processes with completely monotone jumps (English)

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Mateusz Kwaśnicki

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Electronic Journal of Probability

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publication date

16 May 2019

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full work available at URL

https://arxiv.org/abs/1811.06617

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https://projecteuclid.org/euclid.ejp/1555034439

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zbMATH Keywords

complete Bernstein function

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fluctuation theory

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Lévy process

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Nevanlinna-Pick function

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Wiener-Hopf factorisation

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MaRDI profile type

MaRDI publication profile

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Lévy Processes and Stochastic Calculus

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On exponential representation of analytic functions in the upper half- plane with positive imaginary part

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On the Distribution of the Supremum Functional for Processes with Stationary Independent Increments

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The law of the supremum of a stable Lévy process with no negative jumps

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Maxima of sums of random variables and suprema of stable processes

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Density and tails of unimodal convolution semigroups

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Barriers, exit time and survival probability for unimodal Lévy processes

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Dirichlet heat kernel for unimodal Lévy processes

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New families of subordinators with explicit transition probability semigroup

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Dirichlet heat kernel estimates for subordinate Brownian motions with Gaussian components

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On the supremum of the spectrally negative stable process with drift

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Asymptotic behavior of densities of unimodal convolution semigroups

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The Maximum of Sums of Stable Random Variables

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On Wiener-Hopf factorisation and the distribution of extrema for certain stable processes

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Fluctuation theory for Lévy processes. Ecole d'Eté de probabilités de Saint-Flour XXXV -- 2005.

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Asymptotic behaviour of first passage time distributions for Lévy processes

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The asymptotic behavior of densities related to the supremum of a stable process

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On the joint distribution of the supremum functional and its last occurrence for subordinated linear Brownian motion

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On Wiener-Hopf factors for stable processes

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On exit time of stable processes

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Potential theory of one-dimensional geometric stable processes

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On Harnack inequality and Hölder regularity for isotropic unimodal Lévy processes

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Hitting times of points and intervals for symmetric Lévy processes

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Kato classes for Lévy processes

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Heat kernels of non-symmetric Lévy-type operators

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Approximating Lévy processes with completely monotone jumps

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On the maximum of sums of random variables and the supremum functional for stable processes

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A convergent series representation for the density of the supremum of a stable process

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Hitting times of points for symmetric Lévy processes with completely monotone jumps

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Green function estimates for subordinate Brownian motions: Stable and beyond

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Estimates of Dirichlet heat kernels for subordinate Brownian motions

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Potential Theory of Subordinate Brownian Motions Revisited

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Potential theory of subordinate Brownian motions with Gaussian components

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Global uniform boundary Harnack principle with explicit decay rate and its application

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Boundary Harnack principle and Martin boundary at infinity for subordinate Brownian motions

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Heat kernels of non-symmetric jump processes: beyond the stable case

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Intrinsic compound kernel estimates for the transition probability density of a L\'evy type processes and their applications

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Spectral properties of the Cauchy process on half-line and interval

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Analytic Proof of Pecherskii–Rogozin Identity and Wiener–Hopf Factorization

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Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes

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On extrema of stable processes

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On the density of the supremum of a stable process

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Meromorphic Lévy processes and their fluctuation identities

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Spectral analysis of stable processes on the positive half-line

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Introductory lectures on fluctuations of Lévy processes with applications.

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Deep factorisation of the stable process

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Deep factorisation of the stable process. II: Potentials and applications

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Deep factorisation of the stable process III: the view from radial excursion theory and the point of closest reach

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The extended hypergeometric class of Lévy processes

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Spectral analysis of subordinate Brownian motions on the half-line

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Eigenvalues of the fractional Laplace operator in the interval

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Spectral theory for symmetric one-dimensional Lévy processes killed upon hitting the origin

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A new class of bell-shaped functions

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First passage times for subordinate Brownian motions

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Suprema of Lévy processes

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Extension technique for complete Bernstein functions of the Laplace operator

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Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms

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Explicit formula for the supremum distribution of a spectrally negative stable process

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On L\'evy processes conditioned to avoid zero

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Cauchy problem of the non-self-adjoint Gauss-Laguerre semigroups and uniform bounds for generalized Laguerre polynomials

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Intertwining, excursion theory and Krein theory of strings for non-self-adjoint Markov semigroups

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Wiener-Hopf Factorization of Diffusions and Lévy Processes

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On Distributions of Functionals Related to Boundary Problems for Processes with Independent Increments

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Bernstein functions. Theory and applications

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On a fluctuation identity for multidimensional Lévy processes

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On a formula on the potential operators of absorbing Lévy processes in the half space

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On harmonic function for the killed process upon hitting zero of asymmetric L\'evy processes

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Identifiers

zbMATH Open document ID

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10.1214/19-EJP300

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2631866

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