Conditional limit theorems for spectrally positive Lévy processes

DOI10.1239/AAP/1019160955zbMATH Open0998.60046OpenAlexW1977878968MaRDI QIDQ4547103FDOQ4547103

Authors: T. Konstantopoulos, G. Richardson 

Publication date: 25 November 2002

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

Full work available at URL: https://doi.org/10.1239/aap/1019160955

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zbMATH Keywords

large deviationsweak convergenceinfinitely divisibleregular variationSkorokhod reflectionspectrally positiveLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Functional limit theorems; invariance principles (60F17) Rate of growth of functions, orders of infinity, slowly varying functions (26A12)

Cited In (5)

• Conditional Lévy processes
• Functional limit theorems for Lévy processes satisfying Cramér's condition
• Renewal theorems and stability for the reflected process
• Discrete and continuous time modulated random walks with heavy-tailed increments
• Curve crossing for random walks reflected at their maximum

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