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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 ISSN 1631-073X.
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Official URL: http://dx.doi.org/10.1016/S0764-4442(99)80256-0
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, Engineering and Medicine > 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: |
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| 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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