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Volumn 1857, Issue , 2005, Pages 5-15

Some excursion calculations for spectrally one-sided lévy processes

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EID: 85007047585     PISSN: 00758434     EISSN: 16179692     Source Type: Book Series    
DOI: 10.1007/978-3-540-31449-3_2     Document Type: Article
Times cited : (35)

References (11)
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    • (2003) Ann. Appl. Probab. , vol.14 , pp. 215-238
    • Avram, F.1    Kyprianou, A.E.2    Pistorius, M.R.3
  • 2
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    • Cambridge University Press, Cambridge
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    • (1996) Lévy Processes
    • Bertoin, J.1
  • 3
    • 0031285159 scopus 로고    scopus 로고
    • Exponential decay and ergodicity of completely assymmetric Lévy processes in a finite interval
    • Bertoin, J. Exponential decay and ergodicity of completely assymmetric Lévy processes in a finite interval. Ann. Appl. Probab., 7, 156–169, (1997).
    • (1997) Ann. Appl. Probab. , vol.7 , pp. 156-169
    • Bertoin, J.1
  • 4
    • 0030295813 scopus 로고    scopus 로고
    • Conditionings and path decompositions for Lévy processes
    • Chaumont, L. Conditionings and path decompositions for Lévy processes. Stoch. Proc. Appl. 64, 39–54, (1996).
    • (1996) Stoch. Proc. Appl , vol.64 , pp. 39-54
    • Chaumont, L.1
  • 6
    • 0015725442 scopus 로고
    • Exit problem for a spectrally positive process
    • Emery, D. J. Exit problem for a spectrally positive process. Adv. Appl. Probab., 5, 498–520, (1973).
    • (1973) Adv. Appl. Probab. , vol.5 , pp. 498-520
    • Emery, D.J.1
  • 7
    • 0041407187 scopus 로고    scopus 로고
    • Completely assymmetric Lévy processes confined in a finite interval
    • Lambert, A. Completely assymmetric Lévy processes confined in a finite interval. Ann. Inst. H. Poincaré Prob. Stat. 36, 251–274, (2000).
    • (2000) Ann. Inst. H. Poincaré Prob. Stat , vol.36 , pp. 251-274
    • Lambert, A.1
  • 8
    • 4043174902 scopus 로고    scopus 로고
    • On exit and ergodicity of the spectrally negative Lévy process reflected at its infimum
    • Pistorius, M.R. On exit and ergodicity of the spectrally negative Lévy process reflected at its infimum. J. Theoret. Probab. 17 (2004), no. 1, 183–220.
    • (2004) J. Theoret. Probab , vol.17 , Issue.1 , pp. 183-220
    • Pistorius, M.R.1
  • 9
    • 0010708061 scopus 로고
    • The two-sided exit problem for spectrally positive Lévy processes
    • Rogers, L. C. G. The two-sided exit problem for spectrally positive Lévy processes. Adv. Appl. Probab., 22, 486–487, (1990).
    • (1990) Adv. Appl. Probab. , vol.22 , pp. 486-487
    • Rogers, L.C.G.1
  • 10
    • 34250387949 scopus 로고
    • The ruin problem and the resolvent of a killed independent increment process
    • Suprun, V.N. The ruin problem and the resolvent of a killed independent increment process. Ukrainian Math. J. 28, 39–45, (1976).
    • (1976) Ukrainian Math. J , vol.28 , pp. 39-45
    • Suprun, V.N.1


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