Path decompositions for real Levy processes
نویسندگان
چکیده
منابع مشابه
Path Decompositions for Real Levy Processes
– Let X be a real Lévy process and let X↑ be the process conditioned to stay positive. We assume that 0 is regular for (−∞,0) and (0,+∞) with respect to X. Using elementary excursion theory arguments, we provide a simple probabilistic description of the reversed paths of X and X↑ at their first hitting time of (x,+∞) and last passage time of (−∞, x], on a fixed time interval [0, t], for a posit...
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ژورنال
عنوان ژورنال: Annales de l'Institut Henri Poincare (B) Probability and Statistics
سال: 2003
ISSN: 0246-0203
DOI: 10.1016/s0246-0203(02)00004-3