Path decomposition of a reflected Lévy process on first passage over high levels-Reference-Cited by-同舟云学术

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Path decomposition of a reflected Lévy process on first passage over high levels

Published:2022-03 Issue: Volume:145 Page:29-47
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Griffin Philip S.^ORCID

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference15 articles.

1. LÉvy Processes;Bertoin,1996

2. Cramér’s estimate for Lévy processes;Bertoin;Statist. Probab. Lett.,1994

3. On the law of the supremum of Lévy processes;Chaumont;Ann. Probab.,2013

4. Fluctuation theory for Lévy processes;Doney;Note. Course St Flour,2005

5. Cramér’s estimate for a reflected Lévy process revisited;Doney;Ann. Appl. Probab.,2018

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