A new identity for real Levy processes
L.C.G. Rogers (1984)
Annales de l'I.H.P. Probabilités et statistiques
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L.C.G. Rogers (1984)
Annales de l'I.H.P. Probabilités et statistiques
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Jean Bertoin (1995)
Annales de l'I.H.P. Probabilités et statistiques
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Thomas Duquesne (2003)
Annales de l'I.H.P. Probabilités et statistiques
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Steven N. Evans (1987)
Annales de l'I.H.P. Probabilités et statistiques
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Emmanuel Jacob (2010)
Annales de l'I.H.P. Probabilités et statistiques
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The integrated brownian motion is sometimes known as the Langevin process. Lachal studied several excursion laws induced by the latter. Here we follow a different point of view developed by Pitman for general stationary processes. We first construct a stationary Langevin process and then determine explicitly its stationary excursion measure. This is then used to provide new descriptions of Itô’s excursion measure of the Langevin process reflected at a completely inelastic boundary, which...