On a Lévy process pinned at random time
From MaRDI portal
Publication:2126289
DOI10.1515/forum-2019-0324zbMath1497.60058OpenAlexW3111796183MaRDI QIDQ2126289
Mohammed Louriki, Astrid Hilbert, Mohamed Erraoui
Publication date: 19 April 2022
Published in: Forum Mathematicum (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/forum-2019-0324
Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40) Stable stochastic processes (60G52)
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Lévy random bridges and the modelling of financial information
- Splitting at backward times in regenerative sets
- Mathematical methods for financial markets.
- Tempering stable processes
- Small-time expansions for the transition distributions of Lévy processes
- Natural densities of Markov transition probabilities
- Absolute continuity of infinitely divisible distributions
- Excursions of dual processes
- Asymptotic behavior of the transition density for jump type processes in small time
- Processes of normal inverse Gaussian type
- Expansion of transition distributions of Lévy processes in small time
- A parallel between Brownian bridges and gamma bridges
- Occupation time distributions for Lévy bridges and excursions
- Semiclassical analysis for diffusions and stochastic processes
- Bridges with random length: gamma case
- Markovian bridges: weak continuity and pathwise constructions
- Brownian Bridges on Random Intervals
- Arcsine Laws and Interval Partitions Derived from a Stable Subordinator
- The normal inverse gaussian lévy process: simulation and approximation
- Bridges with random length: Gaussian-Markovian case
- A note on the existence of transition probability densities of Lévy processes
- Zeroes of Infinitely Divisible Densities
- Canonical representations and convergence criteria for processes with interchangeable increments
- On the Infinitesimal Generators of Integral Convolutions
