scholarly journals Fluctuation theory for Lévy processes with completely monotone jumps

2019 ◽  
Vol 24 (0) ◽  
Author(s):  
Mateusz Kwaśnicki
Keyword(s):  
Lévy Processes ◽  
Levy Processes ◽  
Fluctuation Theory ◽  
Completely Monotone

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.

scholarly journals Approximating Lévy processes with completely monotone jumps

2016 ◽  
Vol 26 (1) ◽  
pp. 328-359 ◽  
Author(s):  
Daniel Hackmann ◽  
Alexey Kuznetsov
Keyword(s):  
Lévy Processes ◽  
Levy Processes ◽  
Completely Monotone
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