A Stroock formula for a certain class of Lévy processes and applications to finance.
Eddahbi, M., Solé, J.L., Vives, J. (2005)
Journal of Applied Mathematics and Stochastic Analysis
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Eddahbi, M., Solé, J.L., Vives, J. (2005)
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Hans Föllmer, Thomas Knispel (2007)
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Expected suprema of a function observed along the paths of a nice Markov process define an excessive function, and in fact a potential if vanishes at the boundary. Conversely, we show under mild regularity conditions that any potential admits a representation in terms of expected suprema. Moreover, we identify the maximal and the minimal representing function in terms of probabilistic potential theory. Our results are motivated by the work of El Karoui and Meziou (2006) on the max-plus...