Completely asymmetric Lévy processes confined in a finite interval

A. Lambert

Annales de l'I.H.P. Probabilités et statistiques (2000)

  • Volume: 36, Issue: 2, page 251-274
  • ISSN: 0246-0203

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Lambert, 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

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  2. [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
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  13. [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. [14] Prabhu N.U., Stochastic Storage Processes, Queues, Insurance Risk and Dams, Springer, Berlin, 1981. Zbl0453.60094MR602329
  15. [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. [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. [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. [18] Takács L., Combinatorial Methods in the Theory of Stochastic Processes, Wiley, New York, 1966. Zbl0162.21303MR217858

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