Sparre Andersen identity and the last passage time

DOI10.1017/jpr.2016.24zbMath1344.60047arXiv1501.04542OpenAlexW2964298020MaRDI QIDQ3188591

Jevgenijs Ivanovs

Publication date: 11 August 2016

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1501.04542

zbMATH Keywords

Lévy processesrandom walkstime reversallast passage timeexchangeable incrementsuniform law

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Sums of independent random variables; random walks (60G50) Exchangeability for stochastic processes (60G09)

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Splitting and time reversal for Markov additive processes, Occupation times of alternating renewal processes with Lévy applications, TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems

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