A new identity for real Levy processes

L.C.G. Rogers

Annales de l'I.H.P. Probabilités et statistiques (1984)

  • Volume: 20, Issue: 1, page 21-34
  • ISSN: 0246-0203

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Rogers, L.C.G.. "A new identity for real Levy processes." Annales de l'I.H.P. Probabilités et statistiques 20.1 (1984): 21-34. <http://eudml.org/doc/77222>.

@article{Rogers1984,
author = {Rogers, L.C.G.},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
language = {eng},
number = {1},
pages = {21-34},
publisher = {Gauthier-Villars},
title = {A new identity for real Levy processes},
url = {http://eudml.org/doc/77222},
volume = {20},
year = {1984},
}

TY - JOUR
AU - Rogers, L.C.G.
TI - A new identity for real Levy processes
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 1984
PB - Gauthier-Villars
VL - 20
IS - 1
SP - 21
EP - 34
LA - eng
UR - http://eudml.org/doc/77222
ER -

References

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  1. [1] N.H. Bingham, Fluctuation theory in continuous time, Adv. Appl. Probability, t. 7, 1975, p. 705-766. Zbl0322.60068MR386027
  2. [2] W. Feller, An Introduction to Probability Theory and its Applications, vol. II. Wiley, New York, 1971. Zbl0219.60003MR270403
  3. [3] B. Fristedt, Sample functions of stochastic processes with stationary independent increments, Adv. Probability, t. 3, 1973, p. 241-396. Zbl0309.60047MR400406
  4. [4] P. Greenwood, and J.W. Pitman, Fluctuation identities for Levy processes and splitting at the maximum, Adv. Appl. Probability, t. 12, 1980, p. 893-902. Zbl0443.60037MR588409
  5. [5] K. Ito, Poisson point processes attached to Markov processes. Proc. 6th Berkeley Symp. Math. Statist. Prob., p. 225-240. University of California Press, 1971. Zbl0284.60051MR402949
  6. [6] P.W. Millar, Exit properties of stochastic processes with stationary independent increments, Trcrns. Amer. Math. Soc., t. 178, 1973, p. 459-479. Zbl0268.60065MR321198
  7. [7] L.C.G. Rogers, Wiener-Hopf factorisation of diffusions and Levy processes, Proc. London Math. Soc., t. 47, 1983, p. 177-191. Zbl0524.60070MR698932
  8. [8] B.A. Rogozin, On the distribution of functionals related to boundary problems for processes with independent increments, Th. Prob. Appl., t. 11, 1966, p. 580- 591. Zbl0178.52701MR208682
  9. [9] M.L. Silverstein, Classification of coharmonic and coinvariant functions for a Levy process, Ann. Probability, t. 8, 1980, p. 539-575. Zbl0459.60063MR573292

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