scientific article; zbMATH DE number 3820852

MaRDI QIDQ3667719zbMATH OpenFDO

Authors Jim Pitman

Publication date 1981

zbMATH Keywords

last exit decomposition theoremsLevy systemspath decompositionsplitting time

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Continuous-time Markov processes on general state spaces (60J25)

Cited in

(10)

• On the Itô excursion process
• Kac's moment formula and the Feynman-Kac formula for additive functionals of a Markov process
• The argmin process of random walks, Brownian motion and Lévy processes
• On the excursions of Markov processes in classical duality
• Time and place of the maximum for one-dimensional diffusion bridges and meanders
• Splitting and time reversal for Markov additive processes
• First passage times of a jump diffusion process
• Time since maximum of Brownian motion and asymmetric Lévy processes
• Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein-Uhlenbeck process
• Hitting law asymptotics for a fluctuating Brownian functional

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