Penalisation of a stable Lévy process involving its one-sided supremum

Kouji Yano; Yuko Yano; Marc Yor

Annales de l'I.H.P. Probabilités et statistiques (2010)

  • Volume: 46, Issue: 4, page 1042-1054
  • ISSN: 0246-0203

Abstract

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Penalisation involving the one-sided supremum for a stable Lévy process with index α∈(0, 2] is studied. We introduce the analogue of Azéma–Yor martingales for a stable Lévy process and give the law of the overall supremum under the penalised measure.

How to cite

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Yano, Kouji, Yano, Yuko, and Yor, Marc. "Penalisation of a stable Lévy process involving its one-sided supremum." Annales de l'I.H.P. Probabilités et statistiques 46.4 (2010): 1042-1054. <http://eudml.org/doc/240896>.

@article{Yano2010,
abstract = {Penalisation involving the one-sided supremum for a stable Lévy process with index α∈(0, 2] is studied. We introduce the analogue of Azéma–Yor martingales for a stable Lévy process and give the law of the overall supremum under the penalised measure.},
author = {Yano, Kouji, Yano, Yuko, Yor, Marc},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
keywords = {stable Lévy processes; reflected Lévy processes; penalisation},
language = {eng},
number = {4},
pages = {1042-1054},
publisher = {Gauthier-Villars},
title = {Penalisation of a stable Lévy process involving its one-sided supremum},
url = {http://eudml.org/doc/240896},
volume = {46},
year = {2010},
}

TY - JOUR
AU - Yano, Kouji
AU - Yano, Yuko
AU - Yor, Marc
TI - Penalisation of a stable Lévy process involving its one-sided supremum
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 2010
PB - Gauthier-Villars
VL - 46
IS - 4
SP - 1042
EP - 1054
AB - Penalisation involving the one-sided supremum for a stable Lévy process with index α∈(0, 2] is studied. We introduce the analogue of Azéma–Yor martingales for a stable Lévy process and give the law of the overall supremum under the penalised measure.
LA - eng
KW - stable Lévy processes; reflected Lévy processes; penalisation
UR - http://eudml.org/doc/240896
ER -

References

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