Limiting laws and penalization of certain Lévy processes by a function of their maximum

DOI10.1137/S0040585X9798498XzbMATH Open1238.60054MaRDI QIDQ2882287FDOQ2882287

Authors: L. Nguyen-Ngoc 

Publication date: 4 May 2012

Published in: Theory of Probability and its Applications (Search for Journal in Brave)

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zbMATH Keywords

martingalespath decompositionLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Cited In (2)

• Title not available (Why is that?)
• Penalisation of a stable Lévy process involving its one-sided supremum

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