Bridges of Lévy processes conditioned to stay positive (Q2444663)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6282547
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Bridges of Lévy processes conditioned to stay positive |
scientific article; zbMATH DE number 6282547 |
Statements
Bridges of Lévy processes conditioned to stay positive (English)
0 references
10 April 2014
0 references
Starting from the work of \textit{I. V. Denisov} [Teor. Veroyatn. Primen. 28, No. 4, 785--788 (1983; Zbl 0528.60077)], the author generalizes a decomposition of the Brownian trajectory at the time it reaches its minimum on a given interval. Following \textit{L. Chaumont} and \textit{R. A. Doney} [Ann. Probab. 38, No. 4, 1368--1389 (2010; Zbl 1210.60033)], Lévy processes conditioned to stay positive and meanders are introduced. Finally, extensions of Denisov's theorem and of Verraat's theorem are given.
0 references
Lévy processes
0 references
Markovian bridges
0 references
Vervaat transformation
0 references
0 references
0 references
0.8284279108047485
0 references
0.8242732286453247
0 references
0.8233419060707092
0 references
0.8146175146102905
0 references
0.812663733959198
0 references
