The law of the hitting times to points by a stable Lev́y process with no negative jumps.
Peskir, Goran (2008)
Electronic Communications in Probability [electronic only]
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Displaying similar documents to “Two-sided exit problem for a spectrally negative -stable Ornstein-Uhlenbeck process and the Wright's generalized hypergeometric functions.”
The law of the hitting times to points by a stable Lev́y process with no negative jumps.
Quasi-stationary distributions and the continuous-state branching process conditioned to be never extinct.
Lambert, Amaury (2007)
Electronic Journal of Probability [electronic only]
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Penalisation of a stable Lévy process involving its one-sided supremum
Kouji Yano, Yuko Yano, Marc Yor (2010)
Annales de l'I.H.P. Probabilités et statistiques
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Penalisation involving the one-sided supremum for a stable Lévy process with index ∈(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.
A Ciesielski–Taylor type identity for positive self-similar Markov processes
A. E. Kyprianou, P. Patie (2011)
Annales de l'I.H.P. Probabilités et statistiques
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The aim of this note is to give a straightforward proof of a general version of the Ciesielski–Taylor identity for positive self-similar Markov processes of the spectrally negative type which umbrellas all previously known Ciesielski–Taylor identities within the latter class. The approach makes use of three fundamental features. Firstly, a new transformation which maps a subset of the family of Laplace exponents of spectrally negative Lévy processes into itself. Secondly, some classical...
Small time expansions for transition probabilities of some Lev́y processes.
Marchal, Philippe (2009)
Electronic Communications in Probability [electronic only]
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On the relationship between subordinate killed and killed subordinate processes.
Song, Renming, Vondracek, Zoran (2008)
Electronic Communications in Probability [electronic only]
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On the lengths of excursions of some Markov processes
James W. Pitman, Marc Yor (1997)
Séminaire de probabilités de Strasbourg
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Generalised stable Fleming-Viot processes as flickering random measures.
Birkner, Matthias, Blath, Jochen (2009)
Electronic Journal of Probability [electronic only]
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On Lévy processes conditioned to stay positive.
Chaumont, L., Doney, R.A. (2005)
Electronic Journal of Probability [electronic only]
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Infinite divisibility of solutions to some self-similar integro-differential equations and exponential functionals of Lévy processes
Patie Pierre (2009)
Annales de l'I.H.P. Probabilités et statistiques
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We first characterize the increasing eigenfunctions associated to the following family of integro-differential operators, for any , >0, ≥0 and a smooth function on , where the coefficients ,≥0 and the measure , which satisfies the integrability condition (1∧ )(d)<+∞, are uniquely determined by the distribution of a spectrally negative, infinitely divisible random variable, with characteristic exponent . ...