Occupation time distributions for Lévy bridges and excursions

DOI10.1016/0304-4149(95)00013-WzbMath0837.60071MaRDI QIDQ1899256

Patrick J. Fitzsimmons, Ronald Getoor

Publication date: 20 May 1996

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

Full work available at URL: https://doi.org/10.1016/0304-4149(95)00013-w

zbMATH Keywords

Laplace transform; occupation time; Lévy process; excursion

Mathematics Subject Classification ID

60J60: Diffusion processes

60J99: Markov processes

Related Items

Brownian bridge with random length and pinning point for modelling of financial information, An extension of Vervaat's transformation and its consequences, The uniform law for sojourn measures of random fields, Remarks on the density of the law of the occupation time for Bessel bridges and stable excursions, Excursions away from a regular point for one-dimensional symmetric Lévy processes without Gaussian part, Ballot theorems and sojourn laws for stationary processes, Distribution of the occupation time for a Lévy process at passage times at 0, General gauge and conditional gauge theorems, On a Lévy process pinned at random time, Conditioned point processes with application to Lévy bridges

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