Lévy processes time-changed by the first-exit time of the inverse Gaussian subordinator

DOI10.2298/FIL1807545MzbMath1499.60147MaRDI QIDQ5024938

Farouk Mselmi

Publication date: 1 February 2022

Published in: Filomat (Search for Journal in Brave)

zbMATH Keywords

Lévy processvariance functionfirst-exit time of inverse Gaussian subordiantortime-changed

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Stable stochastic processes (60G52)

Cites Work

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