A remarkable \(\sigma\)-finite measure unifying supremum penalisations for a stable Lévy process

DOI10.1214/12-AIHP497zbMath1282.60051OpenAlexW1979808355MaRDI QIDQ376688

Yuko Yano

Publication date: 19 November 2013

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aihp/1380718735

zbMATH Keywords

Lévy processstable processreflected processpath decompositionChaumont's \(h\)-transform processconditioning to hit \(0\) continuouslyconditioning to stay positive/negativepenalisation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Martingales with continuous parameter (60G44) Sample path properties (60G17) Stable stochastic processes (60G52)

Related Items (3)

On the law of the supremum of Lévy processes ⋮ Scaled Penalization of Brownian Motion with Drift and the Brownian Ascent ⋮ On universality in penalisation problems with multiplicative weights

Cites Work

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