Increase of Lévy processes

DOI10.1214/aop/1039639372zbMath0862.60027MaRDI QIDQ2563943

Ronald Arthur Doney

Publication date: 6 January 1997

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1039639372

zbMATH Keywords

stable processes; subordinators; spectrally negative; increase time

Mathematics Subject Classification ID

60G17: Sample path properties

60J99: Markov processes

Related Items

A lifetime of excursions through random walks and Lévy processes

Cites Work

• Brownian motion never increases: A new proof to a result of Dvoretzky, Erdős and Kakutani
• Probability approximations via the Poisson clumping heuristic
• Lévy processes with no positive jumps at an increase time
• Increase of stable processes
• Cramér's estimate for Lévy processes
• Lévy processes that can creep downwards never increase
• On nonincrease of Brownian motion
• Exit Properties of Stochastic Processes with Stationary Independent Increments
• Fluctuation identities for lévy processes and splitting at the maximum
• Increase of a lévy process with no positive jumps
• Fluctuation theory in continuous time
• A convolution equation and hitting probabilities of single points for processes with stationary independent increments
• Semilinear Markov processes, subordinators and renewal theory
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