A remarkable \(\sigma\)-finite measure unifying supremum penalisations for a stable Lévy process
DOI10.1214/12-AIHP497zbMath1282.60051OpenAlexW1979808355MaRDI QIDQ376688
Publication date: 19 November 2013
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aihp/1380718735
Lévy processstable processreflected processpath decompositionChaumont's \(h\)-transform processconditioning to hit \(0\) continuouslyconditioning to stay positive/negativepenalisation
Processes with independent increments; Lévy processes (60G51) Martingales with continuous parameter (60G44) Sample path properties (60G17) Stable stochastic processes (60G52)
Related Items (3)
Cites Work
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