Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes
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Publication:1958501
DOI10.1214/09-AAP673zbMath1222.60038arXiv1011.1790MaRDI QIDQ1958501
Publication date: 4 October 2010
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1011.1790
60G51: Processes with independent increments; Lévy processes
60E10: Characteristic functions; other transforms
30D05: Functional equations in the complex plane, iteration and composition of analytic functions of one complex variable
Related Items
Suprema of Lévy processes, On the Wiener-Hopf factorization for Lévy processes with bounded positive jumps, Meromorphic Lévy processes and their fluctuation identities, A Wiener-Hopf Monte Carlo simulation technique for Lévy processes, The \(\beta\)-Meixner model, Exact and asymptotic \(n\)-tuple laws at first and last passage, Multilevel Monte Carlo simulation for Lévy processes based on the Wiener-Hopf factorisation, Numerical techniques in Lévy fluctuation theory, Wiener-Hopf Factorization for a Family of Lévy Processes Related to Theta Functions
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