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Some new fluctuation identities for Levy processes

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Alili, Larbi and Chaumont, Loïc (1999) Some new fluctuation identities for Levy processes. Comptes Rendus de l'Académie des Sciences - Series I - Mathematics, Volume 328 (Number 7). pp. 613-616. doi:10.1016/S0764-4442(99)80256-0

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Official URL: http://dx.doi.org/10.1016/S0764-4442(99)80256-0

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Abstract

Let τ and H be the ladder time and ladder height processes of a Lévy process X. We give an identity in law between (τ,H) and (X,H*), H* being the right continuous inverse of the process H. The later allows us to get a relationship between the entrance law of X and the entrance law of the excursion measure away from 0 of the reflected process (Xt- infs≤ Xs >- 0). In the stable case, some explicit calculations are provided.

Item Type: Journal Article
Alternative Title: Quelques nouvelles identités de fluctuation pour les processus de Lévy
Divisions: Faculty of Science > Statistics
Journal or Publication Title: Comptes Rendus de l'Académie des Sciences - Series I - Mathematics
Publisher: Elsevier
ISSN: 1631-073X
Official Date: April 1999
Dates:
DateEvent
April 1999Published
Volume: Volume 328
Number: Number 7
Number of Pages: 3
Page Range: pp. 613-616
DOI: 10.1016/S0764-4442(99)80256-0
Status: Peer Reviewed
Publication Status: Published
Access rights to Published version: Restricted or Subscription Access

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