Special, conjugate and complete scale functions for spectrally negative Lévy Following from recent developments in Hubalek and Kyprianou , the objective . Motivated by classical considerations from risk theory, we investigate boundary crossing problems for refracted Lévy processes. The latter is a Lévy process. The purpose of this article is to provide, with the help of a fluctuation identity, a generic link between a number of known identities for the first passage time and.
|Published (Last):||21 March 2012|
|PDF File Size:||14.19 Mb|
|ePub File Size:||4.93 Mb|
|Price:||Free* [*Free Regsitration Required]|
Conditioned subordinators and applications with Kyprianou, A. Submitted The excursion measure away from zero for spectrally negative Levy processes with Pardo, J.
Mathematics > Probability
On branching process with rare neutral mutation. On some transformations between self-similar Markov processeswith Loic Chaumont. Asymptotic behaviour of first passage time distributions for subordinators.
A copy of this manuscript is available from the author kyprianku request. Conditioned real self-similar Markov processes with Andreas E. Submitted Conditioned subordinators and applications with Kyprianou, A. The Lamperti representation of real-valued self-similar Markov processeswith L.
Kyprianou and Weerapat Satitkanitkul. Emilia Caballero and Juan Ruiz de Chavez.
Exact and asymptotic n-tuple laws at first and last passagewith A. Annals of Applied Probability 20 no 2, Electronic Journal of Probability Vol. Random coverings and self-similar Markov processes [ Introduction.
Electronic Journal of Probability. Stochastic ModelsVol. Journal of Theoretical Probability 23, Fluctuation theory and exit systems for positive self-similar Markov processeswith L. Special, conjugate and complete scale functions for spectrally negative Levy processeswith Andreas E. Probability Theory and Related Fields Conditioned real self-similar Markov processes.
Lecture Notes in MathematicsVol. A law of iterated logarithm for increasing self-similar Markov processes Stochastics and Stochastics Reports 75 6 The excursion measure away from zero for spectrally negative Levy processes with Pardo, J.
On the asymptotic behaviour of increasing self-similar Markov processeswith Maria Emilia Caballero. Probability Theory and Related Fields Deep factorisation of the stable process II, potentials and applications.
Kyprianou and Renming Song.
Tail asymptotics for exponential functionals of Levy processes: Mexicana 3 19no. Quasi-stationary distributions and Yaglom limits of self-similar Markov processes, with B.
On the density of exponential functionals of Levy processeswith J. Stochastic Processes and their Applications 12, Kyprianou and Bati Sengul. Submitted Entrance laws for positive self-similar Markov processes Accepted for publication in the Proceedings of the First Congress of the Americas, Contemporary Mathematics Annals of Probability Vol.
 Meromorphic Levy processes and their fluctuation identities
The theory of scale functions for spectrally negative Levy processeswith A. Self similar Markov processes With Pardo, J. Entrance laws for positive self-similar Markov processes. Bernoulli 13 4,