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Some excursion calculations for reflected Lévy processes

Baurdoux, Erik J. (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
Subjects: Q Science > QA Mathematics
Sets: Research centres and groups > Risk and Stochastics Group
Departments > Statistics
Date Deposited: 08 May 2009 10:40
Last Modified: 29 Mar 2011 16:05
URI: http://eprints.lse.ac.uk/id/eprint/23925

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