Completely asymmetric Lévy processes confined in a finite interval
Annales de l'I.H.P. Probabilités et statistiques (2000)
- Volume: 36, Issue: 2, page 251-274
- ISSN: 0246-0203
Access Full Article
topHow to cite
topLambert, A.. "Completely asymmetric Lévy processes confined in a finite interval." Annales de l'I.H.P. Probabilités et statistiques 36.2 (2000): 251-274. <http://eudml.org/doc/77658>.
@article{Lambert2000,
author = {Lambert, A.},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
keywords = {Lévy process; two-sided exit problem; conditional law; -transform; Mittag-Leffler function; excursion measure},
language = {eng},
number = {2},
pages = {251-274},
publisher = {Gauthier-Villars},
title = {Completely asymmetric Lévy processes confined in a finite interval},
url = {http://eudml.org/doc/77658},
volume = {36},
year = {2000},
}
TY - JOUR
AU - Lambert, A.
TI - Completely asymmetric Lévy processes confined in a finite interval
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 2000
PB - Gauthier-Villars
VL - 36
IS - 2
SP - 251
EP - 274
LA - eng
KW - Lévy process; two-sided exit problem; conditional law; -transform; Mittag-Leffler function; excursion measure
UR - http://eudml.org/doc/77658
ER -
References
top- [1] Bertoin J., Lévy Processes, Cambridge University Press, Cambridge, 1996. Zbl0861.60003MR1406564
- [2] Bertoin J., On the first exit-time of a completely asymmetric stable process from a finite interval, Bull. London Math. Soc.5 (1996) 514-520. Zbl0863.60068MR1396154
- [3] Bertoin J., Exponential decay and ergodicity of completely asymmetric Lévy processes in a finite interval, Ann. Appl. Probab.7 (1997) 156-169. Zbl0880.60077MR1428754
- [4] Bingham N.H., Continuous branching processes and spectral positivity, Stoch. Proc. Appl.4 (1976) 217-242. Zbl0338.60051MR410961
- [5] Borovkov A.A., Stochastic Processes in Queuing Theory, Springer, Berlin, 1976. Zbl0319.60057MR391297
- [6] Dellacherie C., Meyer P.A., Probabilités et Potentiel (Tome 2), Hermann, Paris, 1980. Zbl0464.60001MR488194
- [7] Dellacherie C., Meyer P.A., Probabilités et Potentiel (Tome 4), Hermann, Paris, 1987. Zbl0624.60084MR488194
- [8] Dellacherie C., Meyer P.A., Maisonneuve B., Probabilités et Potentiel (Tome 5), Hermann, Paris, 1992. MR488194
- [9] Emery D.J., Exit problem for a spectrally positive process, Adv. in Appl. Probab.5 (1973) 498-520. Zbl0297.60035MR341623
- [10] Grey D.R., Asymptotic behaviour of continuous-time, continuous state-space branching processes, J. Appl. Probab.11 (1974) 669-677. Zbl0301.60060MR408016
- [11] Knight F.B., Brownian local times and taboo processes, Trans. Amer. Math. Soc.143 (1969) 173-185. Zbl0187.41203MR253424
- [12] Lamperti J., Continuous-state branching processes, Bull. Amer. Math. Soc.73 (1967) 382-386. Zbl0173.20103MR208685
- [13] Le Gall J.F., Le Jan Y., Branching processes in Lévy processes: the exploration process, Ann. Probab.26 (1998) 213-252. Zbl0948.60071MR1617047
- [14] Prabhu N.U., Stochastic Storage Processes, Queues, Insurance Risk and Dams, Springer, Berlin, 1981. Zbl0453.60094MR602329
- [15] Robbins H., Siegmund D., On the law of the iterated logarithm for maxima and minima, in: Proc. Sixth Berkeley Symp., Vol. III, 1972, pp. 51-70. Zbl0281.60027MR400364
- [16] Rogers L.C.G., The two-sided exit problem for spectrally positive Lévy processes, Adv. in Appl. Probab.22 (1990) 486-487. Zbl0698.60063MR1053243
- [17] Suprun V.N., Problem of destruction and resolvent of terminating process with independent increments, Ukrainian Math. J.28 (1976) 39-45. Zbl0349.60075
- [18] Takács L., Combinatorial Methods in the Theory of Stochastic Processes, Wiley, New York, 1966. Zbl0162.21303MR217858
Citations in EuDML Documents
topNotesEmbed ?
topTo embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.