Krein's Theory applied to fluctuations of L\'{e}vy processes

Publication date 30 August 2005

Ordinary differential operators (34L99) Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52)

Abstract: We give an interpretation of the bilateral exit problem for L'{e}vy processes via the study of an elementary Markov chain. We exhibit a strong connection between this problem and Krein's theory on strings. For instance, for symmetric L'{e}vy processes with bounded variations, the L'{e}vy exponent is the correspondant spectral density and the Wiener-Hopf factorization turns out to be a version of Krein's entropy formula.

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