On a fluctuation identity for multidimensional Lévy processes

DOI10.3836/tjm/1244208860zbMath1028.60046OpenAlexW2008560259MaRDI QIDQ1812492

Hiroshi Tanaka, Yozo Tamura

Publication date: 13 January 2004

Published in: Tokyo Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3836/tjm/1244208860

zbMATH Keywords

random walkLévy processcompound Poisson process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Related Items (2)

Fluctuation theory for Lévy processes with completely monotone jumps ⋮ On a formula on the potential operators of absorbing Lévy processes in the half space

Cites Work

• A path decomposition for Markov processes
• On the differentiability and the representation of one-parameter semi-group of linear operators
• On the Distribution of the Supremum Functional for Processes with Stationary Independent Increments
• Fluctuation identities for lévy processes and splitting at the maximum
• On the Joint Distribution of a Process with Stationary Increments and Its Maximum
• On Distributions of Functionals Related to Boundary Problems for Processes with Independent Increments
• Factorization Identities and Properties of the Distribution of the Supremum of Sequential Sums
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