Kendall's identity for the first crossing time revisited

DOI10.1214/ECP.v6-1038zbMath1008.60065MaRDI QIDQ1860572

Konstantin A. Borovkov, Z. Burq

Publication date: 25 February 2003

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/122490

zbMATH Keywords

change of measure; first crossing time; skip-free Lévy process

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

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