A path decomposition for Lévy processes

DOI10.1016/0304-4149(93)90012-SMaRDI QIDQ689457zbMATH OpenFDO

Authors Ronald A. Doney

Publication date 19 January 1994

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(93)90012-S

zbMATH Keywords

Brownian motionexcursionsfirst passage timesLévy processesmaxima of Lévy processes

Mathematics Subject Classification ID

Sample path properties (60G17) Sums of independent random variables; random walks (60G50)

Recommendations

• Path decompositions for real Lévy processes
• Sur la décomposition de la trajectoire d'un processus de Lévy spectralement positif en son infimum. (On the path decomposition at the infimum for a spectrally positive Lévy process)
• Sur certains processus de lévy conditionnés à rester positifs
• Splitting at the infimum and excursions in half-lines for random walks and Lévy processes
• Occupation time distributions for Lévy bridges and excursions

Cites work

• A decomposition of the Brownian path
• Asymptotic laws of planar Brownian motion
• Fluctuation theory in continuous time
• General Wald-type identities for exchangeable sequences and processes
• Hitting Probabilities for Spectrally Positive Lévy Processes
• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• On the Maxima of Random Walks and Stable Processes and the Arc-Sine Law
• Some remarks on Brownian motion with drift
• Some results involving the maximum of Brownian motion
• Splitting at the infimum and excursions in half-lines for random walks and Lévy processes
• Spreading and predictable sampling in exchangeable sequences and processes
• Trivariate density of Brownian motion, its local and occupation times, with application to stochastic control

Cited in

(10)

• Sur la décomposition de la trajectoire d'un processus de Lévy spectralement positif en son infimum. (On the path decomposition at the infimum for a spectrally positive Lévy process)
• Path decompositions for real Lévy processes
• Excursions away from the Lipschitz minorant of a Lévy process
• A lifetime of excursions through random walks and Lévy processes
• A decomposition for additive functionals of Lévy processes
• ORTHOGONAL DECOMPOSITIONS FOR LÉVY PROCESSES WITH AN APPLICATION TO THE GAMMA, PASCAL, AND MEIXNER PROCESSES
• Path decomposition of a spectrally negative L\'evy process, and local time of a diffusion in this environment
• On fluctuation-theoretic decompositions via Lindley-type recursions
• Some independence results related to the arc-sine law
• Splitting at the infimum and excursions in half-lines for random walks and Lévy processes

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