Weak Reflection Principle for Levy Processes
نویسندگان
چکیده
منابع مشابه
Weak reflection principle for Lévy processes
In this paper, we develop a new mathematical technique which can be used to express the joint distribution of a Markov process and its running maximum (or minimum) through the distribution of the process itself. This technique is an extension of the classical reflection principle for Brownian motion, and it is obtained by weakening the assumptions of symmetry required for the standard reflectio...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2467257