First passage times of subordinators and urns

DOI10.1007/978-3-030-83309-1_18MaRDI QIDQ2080158zbMATH OpenOpenAlexFDO

Authors Philippe Marchal

Publication date 7 October 2022

Full work available at URL https://doi.org/10.1007/978-3-030-83309-1_18

zbMATH Keywords

first passage timePolya urnstable subordinator

Mathematics Subject Classification ID

Combinatorial probability (60C05) Stopping times; optimal stopping problems; gambling theory (60G40)

Recommendations

• Asymptotic behaviour of first passage time distributions for subordinators
• First passage properties of a generalized Pólya urn
• First-passage properties of the Pólya urn process
• Renewal theory and level passage by subordinators

Cites work

• A class of special subordinators with nested ranges
• Asymptotic behaviour of first passage time distributions for subordinators
• Bernstein functions. Theory and applications
• Combinatorial stochastic processes. Ecole d'Eté de Probabilités de Saint-Flour XXXII -- 2002.
• Complete Bernstein functions and subordinators with nested ranges. A note on a paper by P. Marchal
• scientific article; zbMATH DE number 2127756 (Why is no real title available?)
• scientific article; zbMATH DE number 1418383 (Why is no real title available?)
• Invariance principles for local times at the maximum of random walks and Lévy processes
• Limit theorems for triangular urn schemes
• On exponential functionals, harmonic potential measures and undershoots of subordinators

Cited in

(2)

• First passage properties of a generalized Pólya urn
• Asymptotic behaviour of first passage time distributions for subordinators

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