메뉴 건너뛰기




Volumn 24, Issue 1, 2001, Pages 291-308

Lévy processes with negative drift conditioned to stay positive

Author keywords

[No Author keywords available]

Indexed keywords


EID: 23244434532     PISSN: 03873870     EISSN: None     Source Type: Journal    
DOI: 10.3836/tjm/1255958329     Document Type: Article
Times cited : (15)

References (20)
  • 1
    • 85035307170 scopus 로고    scopus 로고
    • Cambridge University Press
    • J. Bertoin, 14vy Processes, Cambridge University Press (1996).
    • (1996) 14Vy Processes
    • Bertoin, J.1
  • 2
    • 0011634315 scopus 로고
    • On conditioning a random walk to stay nonnegative
    • J. BERTOIN and R. A. DONEY, On conditioning a random walk to stay nonnegative, Ann. Probab. 22 (1994), 2152-2167.
    • (1994) Ann. Probab , vol.22 , pp. 2152-2167
    • Bertoin, J.1    Doney, R.A.2
  • 3
    • 0005494030 scopus 로고
    • Cramér’s estimate for Lévy processes
    • J. BERTOIN and R. A. DONEY, Cramér’s estimate for Lévy processes, Statist. Probab. Lett. 21 (1994), 363-365.
    • (1994) Statist. Probab. Lett , vol.21 , pp. 363-365
    • Bertoin, J.1    Doney, R.A.2
  • 4
    • 0016645863 scopus 로고
    • Fluctuation theory in continuous time
    • N. H. BINGHAM, Fluctuation theory in continuous time, Adv. Appl. Probab. 7 (1975), 705-766.
    • (1975) Adv. Appl. Probab , vol.7 , pp. 705-766
    • Bingham, N.H.1
  • 6
    • 0000103738 scopus 로고
    • MARTIN, Asymptotic laws for one-dimensional diffusions conditioned to nonabsorption
    • P. COLLET, S. MARTINEZ and J. SAN MARTIN, Asymptotic laws for one-dimensional diffusions conditioned to nonabsorption, Ann. Probab. 23 (1995), 1300-1314.
    • (1995) Ann. Probab , vol.23 , pp. 1300-1314
    • Collet, P.1    Martinez, S.2    San, J.3
  • 7
    • 38249022074 scopus 로고
    • Last exit times for random walks
    • R. A. DONEY, Last exit times for random walks, Stochastic Process Appl. 31 (1989), 321-331.
    • (1989) Stochastic Process Appl , vol.31 , pp. 321-331
    • Doney, R.A.1
  • 9
    • 0000312121 scopus 로고
    • Sample functions of stochasitic processes with stationary independent increments
    • N. PETER and S. PORTMarcel Dekker
    • B. FRISTEDT, Sample functions of stochasitic processes with stationary independent increments, Advances in probability and related topics vol.3 (eds. N. PETER and S. PORT), Marcel Dekker (1974), 241-396.
    • (1974) Advances in Probability and Related Topics , vol.3 , pp. 241-396
    • Fristedt, B.1
  • 11
    • 0037997118 scopus 로고    scopus 로고
    • Determination of the limiting coefficient for exponential functionals of random walks with positive drift
    • K. HIRANO, Determination of the limiting coefficient for exponential functionals of random walks with positive drift, J. Math. Sci. Univ. Tokyo. 5 (1998), 299-332.
    • (1998) J. Math. Sci. Univ. Tokyo , vol.5 , pp. 299-332
    • Hirano, K.1
  • 13
    • 0001506434 scopus 로고
    • Extreme values in the GI/G/1 queue
    • D. L. IGLEHART, Extreme values in the GI/G/1 queue, Ann. Math. Statist. 43 (1972), 627-635.
    • (1972) Ann. Math. Statist , vol.43 , pp. 627-635
    • Iglehart, D.L.1
  • 14
    • 0000557607 scopus 로고
    • Random walks with negative drift conditioned to stay positive
    • D. L. IGLEHART, Random walks with negative drift conditioned to stay positive, J. Appl. Probab. 11 (1974), 742-751.
    • (1974) J. Appl. Probab , vol.11 , pp. 742-751
    • Iglehart, D.L.1
  • 15
    • 0042198123 scopus 로고
    • Limit theorems for random walks conditioned to stay positive
    • R. W. KEENER, Limit theorems for random walks conditioned to stay positive, Ann. Probab. 20 (1992), 801-824.
    • (1992) Ann. Probab , vol.20 , pp. 801-824
    • Keener, R.W.1
  • 16
    • 21844504497 scopus 로고
    • Quasi-stationary distributions for a Brownian motion with drift and associated limit laws
    • S. MARTINEZ and J. SAN MARTIN, Quasi-stationary distributions for a Brownian motion with drift and associated limit laws, J. Appl. Probab. 31 (1994), 911-920.
    • (1994) J. Appl. Probab , vol.31 , pp. 911-920
    • Martinez, S.1    Martin, J.S.2
  • 17
    • 85035290042 scopus 로고
    • Some limit distributions for processes with independent increments
    • A. V PECHINKIN, Some limit distributions for processes with independent increments, Theory Probab. Appl. 22 (1977), 175-183.
    • (1977) Theory Probab. Appl , vol.22 , pp. 175-183
    • Pechinkin, A.V.1
  • 20
    • 33749017547 scopus 로고
    • Path decomposition and continuity of local time for one-dimensional diffusions
    • D. WILLIAMS, Path decomposition and continuity of local time for one-dimensional diffusions, Proc. London Math. Soc. 28 (1974), 738-768.
    • (1974) Proc. London Math. Soc , vol.28 , pp. 738-768
    • Williams, D.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.