论文信息 - Fluctuation identities for Levy processes and splitting at the maximum

Fluctuation identities for Levy processes and splitting at the maximum

It6's notion of a Poisson point process of excursions is used to give a unified approach to a number of results in the fluctuation theory of LUvy processes, including identities of Pecherskii, Rogozin and Fristedt, and Millar's path decomposition at the maximum. LEVY PROCESS; SPLITTING TIME; FLUCTUATION THEORY; POINT PROCESS OF EXCURSIONS

Jim Pitman | Priscilla E. Greenwood | J. Pitman | P. Greenwood

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