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

DOI10.1137/S0040585X9798498XMaRDI QIDQ2882287zbMATH OpenFDO

Authors L. Nguyen-Ngoc

Publication date 4 May 2012

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

zbMATH Keywords

martingalespath decompositionLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

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Cited in

(2)

• scientific article; zbMATH DE number 3971881 (Why is no real title available?)
• Penalisation of a stable Lévy process involving its one-sided supremum

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