ON A FLUCTUATION IDENTITY FOR RANDOM WALKS AND LÉVY PROCESSES

DOI10.1112/S0024609304003789zbMath1063.60062OpenAlexW2133021952MaRDI QIDQ4673190

I. Alili, Loïc Chaumont, Ronald Arthur Doney

Publication date: 29 April 2005

Published in: Bulletin of the London Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1112/s0024609304003789

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Sums of independent random variables; random walks (60G50) Sample path properties (60G17)

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