scholarly journals Fluctuation theory for one-sided Lévy processes with a matrix-exponential time horizon

2021 ◽  
Author(s):  
Mogens Bladt ◽  
Jevgenijs Ivanovs
Keyword(s):  
Time Horizon ◽  
Lévy Processes ◽  
Levy Processes ◽  
Matrix Exponential ◽  
Fluctuation Theory ◽  
Exponential Time

Fluctuation identities for lévy processes and splitting at the maximum

1980 ◽  
Vol 12 (4) ◽  
pp. 893-902 ◽  
Author(s):  
Priscilla Greenwood ◽  
Jim Pitman
Keyword(s):  
Point Process ◽  
Lévy Processes ◽  
Poisson Point Process ◽  
Levy Processes ◽  
Fluctuation Theory ◽  
Unified Approach ◽  
Path Decomposition

Itô's notion of a Poisson point process of excursions is used to give a unified approach to a number of results in the fluctuation theory of Lévy processes, including identities of Pecherskii, Rogozin and Fristedt, and Millar's path decomposition at the maximum.

Fluctuation identities for lévy processes and splitting at the maximum

1980 ◽  
Vol 12 (04) ◽  
pp. 893-902 ◽  
Author(s):  
Priscilla Greenwood ◽  
Jim Pitman
Keyword(s):  
Point Process ◽  
Lévy Processes ◽  
Poisson Point Process ◽  
Levy Processes ◽  
Fluctuation Theory ◽  
Unified Approach ◽  
Path Decomposition

Itô's notion of a Poisson point process of excursions is used to give a unified approach to a number of results in the fluctuation theory of Lévy processes, including identities of Pecherskii, Rogozin and Fristedt, and Millar's path decomposition at the maximum.

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