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 July 2011|
|PDF File Size:||20.38 Mb|
|ePub File Size:||12.84 Mb|
|Price:||Free* [*Free Regsitration Required]|
The theory of scale functions for spectrally negative Levy processeswith A.
On exponential functionals, harmonic potential measures and undershoots of subordinatorsWith Alili, L. Kyprianou and Weerapat Satitkanitkul. The Lamperti representation of real-valued self-similar Markov processeswith L. Bernoulli 13 4, A law of iterated logarithm for increasing self-similar Markov processes Stochastics and Stochastics Reports 75 6 Conditioned real self-similar Markov processes with Andreas E.
On random sets connected to the partial records of Poisson point processes Journal of Theoretical Probability 16 1 Asymptotic behaviour of first passage time distributions for Levy processeswith R.
 Perpetual Integrals for Levy Processes
Electronic Journal of Probability. On branching process with rare neutral mutation. Electronic Journal of Probability Vol.
Probability Theory and Related Fields Kyprianou and Renming Song. In collaboration with Ma.
Lecture Notes in MathematicsVol. Introduccion a los procesos de Markov auto-similares positivos Introduction to the theory of positive self-similar Markov processes Spanish Course tought at the V Escuela de verano de Probabilidad, September On some transformations between self-similar Markov processeskyorianou Loic Chaumont.
Submitted Entrance laws for positive self-similar Markov processes Accepted for publication in the Proceedings of the First Congress of the Americas, Contemporary Mathematics Stochastic Processes and their Applications, Kyprianou and Bati Sengul. Probability Theory and Related Fields Quasi-stationary distributions and Yaglom limits of self-similar Markov processes, with B. On kyrpianou asymptotic behaviour of increasing self-similar Markov processeswith Maria Emilia Caballero.
Asymptotic behaviour of first passage time distributions for subordinators.
Mathematics > Probability
Exact and asymptotic n-tuple laws at first and last passagewith A. Submitted The excursion measure away from zero for spectrally negative Levy processes with Pardo, J.
Fluctuation theory and exit systems for positive self-similar Markov processeswith L. Submitted Conditioned subordinators and applications with Kyprianou, A.
On the density of exponential functionals of Levy processeslevu J. Stochastic Processes and their Applications 12, Journal of Theoretical Probability 23, Self similar Markov processes With Pardo, J.
The excursion measure away from zero for spectrally negative Levy processes with Pardo, J. Annals of Probability Vol. Mexicana 3 19no.
Stochastic ModelsVol. In collaboration with Mena, R.
Kyprianou , Loeffen : Refracted Lévy processes
Annals of Applied Probability 20 no 2, A copy of this manuscript is available from the author upon request. Conditioned real self-similar Markov processes. Random coverings and self-similar Markov processes [ Introduction. Tail asymptotics for exponential functionals of Levy processes: Conditioned subordinators and applications with Kyprianou, A.
Deep factorisation of the stable process II, potentials and applications.
Entrance laws for positive self-similar Markov processes. Emilia Caballero and Juan Ruiz de Chavez. Special, conjugate and complete scale functions for spectrally negative Levy processeswith Andreas E.