On a fluctuation identity for multidimensional Lévy processes (Q1812492)

From MaRDI portal
scientific article
Language Label Description Also known as
English
On a fluctuation identity for multidimensional Lévy processes
scientific article

    Statements

    On a fluctuation identity for multidimensional Lévy processes (English)
    0 references
    0 references
    0 references
    13 January 2004
    0 references
    Fluctuation identities for one-dimensional Lévy processes are often called Wiener-Hopf factorizations. The authors prove a fluctuation identity for a multivariate Lévy process using a relevant choice of the approximating compound Poisson process.
    0 references
    Lévy process
    0 references
    compound Poisson process
    0 references
    random walk
    0 references

    Identifiers