Some excursion calculations for reflected Lévy processes

Baurdoux, Erik J. ORCID: 0000-0002-5407-0683 (2009) Some excursion calculations for reflected Lévy processes. Alea: Latin American Journal of Probability and Mathematical Statistics, 6. pp. 149-162. ISSN 1980-0436

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Abstract

Using methods analogous to those introduced in Doney (2005), we express the resolvent density of a (killed) reflected Lévy process in terms of the resolvent density of the (killed) Lévy process. As an application we find a previously unknown identity for the potential density for killed reflected symmetric stable processes.

Item Type:	Article
Official URL:	http://alea.impa.br/english/index_v6.htm
Additional Information:	© 2009 The Author
Divisions:	Statistics
Subjects:	Q Science > QA Mathematics
Date Deposited:	08 May 2009 10:40
Last Modified:	11 Dec 2024 23:28
URI:	http://eprints.lse.ac.uk/id/eprint/23925

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