Fluctuations of Lévy processes and scattering theory

DOI10.1090/S0002-9947-09-04791-6MaRDI QIDQ3402208zbMATH OpenOpenAlexFDO

Authors Sonia Fourati

Publication date 2 February 2010

Published in Transactions of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0701271

zbMATH Keywords

fluctuation theoryLévy processesRiemann-Hilbert factorizationscattering theoryWiener-Hopf factorization

Mathematics Subject Classification ID

Scattering theory, inverse scattering involving ordinary differential operators (34L25) Riemann-Hilbert problems in context of PDEs (35Q15) Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52)

Abstract: We establish a connection between the scattering inverse problem and the determination of the distribution of the position of the Levy process at the exit time of a bounded interval in term of its Levy exponent.

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Cited in

(5)

• scientific article; zbMATH DE number 1639848 (Why is no real title available?)
• LU-factorization versus Wiener-Hopf factorization for Markov chains
• A note on Wiener-Hopf factorization for Markov additive processes
• Joint distributions of some actuarial random vectors for the Cox risk model
• Explicit solutions of the exit problem for a class of Lévy processes; applications to the pricing of double-barrier options

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