A note on a.s. finiteness of perpetual integral functionals of diffusions.
Khoshnevisan, Davar, Salminen, Paavo, Yor, Marc (2006)
Electronic Communications in Probability [electronic only]
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Displaying similar documents to “Exponential functionals of Lev́y processes.”
A note on a.s. finiteness of perpetual integral functionals of diffusions.
Conjugate priors for exponential-type processes with random initial conditions
Ryszard Magiera (1994)
Applicationes Mathematicae
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The family of proper conjugate priors is characterized in a general exponential model for stochastic processes which may start from a random state and/or time.
On the existence of recurrent extensions of self-similar Markov processes.
Fitzsimmons, Patrick J. (2006)
Electronic Communications in Probability [electronic only]
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Feynman-Kac penalisations of symmetric stable processes.
Takeda, Masayoshi (2010)
Electronic Communications in Probability [electronic only]
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Equivalent martingale measures for Lévy processes.
Önalan, Ömer (2008)
Acta Universitatis Apulensis. Mathematics - Informatics
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A note on the characterization ofsome minification processes
Wiesław Dziubdziela (1997)
Applicationes Mathematicae
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We present a stochastic model which yields a stationary Markov process whose invariant distribution is maximum stable with respect to the geometrically distributed sample size. In particular, we obtain the autoregressive Pareto processes and the autoregressive logistic processes introduced earlier by Yeh et al
On the limit distributions of kth order statistics for semi-pareto processes
Magdalena Chrapek, Jadwiga Dudkiewicz, Wiesław Dziubdziela (1997)
Applicationes Mathematicae
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Asymptotic properties of the kth largest values for semi-Pareto processes are investigated. Conditions for convergence in distribution of the kth largest values are given. The obtained limit laws are represented in terms of a compound Poisson distribution.
Proof(s) of the Lamperti representation of continuous-state branching processes.
Caballero, Ma.Emilia, Lambert, Amaury, Uribe Bravo, Gerónimo (2009)
Probability Surveys [electronic only]
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Markov dilation of diffusion type processes and its application to the financial mathematics.
Tevzadze, R. (1999)
Georgian Mathematical Journal
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Harnack inequality for functional sdes with bounded memory.
Es-Sarhir, Abdelhadi, Von Renesse, Max-K., Scheutzow, Michael (2009)
Electronic Communications in Probability [electronic only]
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Laplace transforms via Hadamard factorization.
Gao, Fuchang, Hannig, Jan, Lee, Tzong-Yow, Torcaso, Fred (2003)
Electronic Journal of Probability [electronic only]
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