Path decomposition of a reflected Lévy process on first passage over high levels

DOI10.1016/j.spa.2021.11.013zbMath1480.60118OpenAlexW4200301970MaRDI QIDQ2074980

Philip S. Griffin

Publication date: 11 February 2022

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

Full work available at URL: https://doi.org/10.1016/j.spa.2021.11.013

zbMATH Keywords

first passage timeLévy processreflected processovershootconvolution equivalence

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Functional limit theorems; invariance principles (60F17)

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