On the Scaling Property in Fluctuation Theory for Stable Lévy Processes
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://epubs.siam.org/doi/pdf/10.1137/S0040585X97985157
Reference10 articles.
1. Some remarks on first passage of Lévy processes, the American put and pasting principles
2. Maxima of sums of random variables and suprema of stable processes
3. Optimal Stopping for Partial Sums
4. Overshoots and undershoots of Lévy processes
5. On the Joint Distribution of the First Exit Time and Exit Value for Homogeneous Processes With Independent Increments
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