A new fluctuation identity for Lévy processes and some applications

DOI10.2307/3318502zbMath1003.60045OpenAlexW2049951526MaRDI QIDQ5949620

Larbi Alili, Loïc Chaumont

Publication date: 20 January 2003

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3318502

zbMATH Keywords

entrance lawexcursion measureladder height processladder processreflected process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52) Local time and additive functionals (60J55)

Related Items (10)

The first passage time of a stable process conditioned to not overshoot ⋮ On the law of the supremum of Lévy processes ⋮ Asymptotic behaviour of first passage time distributions for Lévy processes ⋮ Local behaviour of first passage probabilities ⋮ \(\varepsilon\)-strong simulation of the convex minorants of stable processes and meanders ⋮ Local probabilities for random walks conditioned to stay positive ⋮ The asymptotic behavior of densities related to the supremum of a stable process ⋮ Invariance principles for local times at the maximum of random walks and Lévy processes ⋮ Density behaviour related to Lévy processes ⋮ Stochastic solutions for fractional wave equations

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