Last exit times for transient semistable processes
Ken-Iti Sato, Toshiro Watanabe (2005)
Annales de l'I.H.P. Probabilités et statistiques
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Ken-Iti Sato, Toshiro Watanabe (2005)
Annales de l'I.H.P. Probabilités et statistiques
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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...
Víctor Rivero (2007)
Annales de l'I.H.P. Probabilités et statistiques
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R. A. Doney, R. A. Maller (2004)
Annales de l'I.H.P. Probabilités et statistiques
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Anthony G. Pakes (1996)
Annales de la Faculté des sciences de Toulouse : Mathématiques
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