The alternating marked point process of \(h\)-slopes of drifted Brownian motion

DOI10.1016/j.spa.2008.09.002zbMath1169.60318arXiv0708.0128OpenAlexW2155905316MaRDI QIDQ1019609

Alessandra Faggionato

Publication date: 4 June 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0708.0128

zbMATH Keywords

Brownian motionmarked point processesfluctuation theoryPalm-Khinchin theory

Mathematics Subject Classification ID

Brownian motion (60J65) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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The argmin process of random walks, Brownian motion and Lévy processes ⋮ Lipschitz minorants of Brownian motion and Lévy processes

Cites Work

• One-dimensional diffusion in an asymmetric random environment
• An introduction to the theory of point processes
• Moments of sums of independent random variables
• Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
• On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum
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