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
|
PDF
Download (281Kb) | Preview |
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 |
| Library of Congress subject classification: | Q Science > QA Mathematics |
| Sets: | Research centres and groups > Risk and Stochastics Group Departments > Statistics |
| Date Deposited: | 08 May 2009 10:40 |
| URL: | http://eprints.lse.ac.uk/23925/ |
Actions (login required)
 |
Record administration - authorised staff only |
Download statistics
Download statistics