Sparre Andersen identity and the last passage time

DOI10.1017/JPR.2016.24zbMath1344.60047arXiv1501.04542OpenAlexW2964298020MaRDI QIDQ3188591

Jevgenijs Ivanovs

Publication date: 11 August 2016

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1501.04542

zbMATH Keywords

Lévy processesrandom walkstime reversallast passage timeexchangeable incrementsuniform law

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Sums of independent random variables; random walks (60G50) Exchangeability for stochastic processes (60G09)

Related Items (3)

Splitting and time reversal for Markov additive processes ⋮ Occupation times of alternating renewal processes with Lévy applications ⋮ TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems

Cites Work

• Passage times for a spectrally negative Lévy process with applications to risk theory
• Stochastic-Process Limits
• Two Consequences of a Path Transform
• ON A FLUCTUATION IDENTITY FOR RANDOM WALKS AND LÉVY PROCESSES
• Applied Probability and Queues
• Time Reversions of Markov Processes
• On the fluctuations of sums of random variables
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