Completely asymmetric stable processes conditioned to avoid an interval

DOI10.1017/JPR.2019.66zbMath1427.60160arXiv1906.06928OpenAlexW2951736671MaRDI QIDQ5205950

Pierre Lenthe, Philip Weissmann

Publication date: 17 December 2019

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1906.06928

zbMATH Keywords

Markov processLévy processstable processDoob \(h\)-transform

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Continuous-time Markov processes on general state spaces (60J25) Sums of independent random variables; random walks (60G50) Probabilistic potential theory (60J45)

Cites Work

• On Lévy processes conditioned to stay positive
• Stable processes conditioned to avoid an interval
• Fluctuations of Lévy processes with applications. Introductory lectures
• Lévy processes with finite variance conditioned to avoid an interval
• Hitting times and potentials for recurrent stable processes
• The Distribution of the First Hit for Stable and Asymptotically Stable Walks on an Interval
• Markov Processes, Brownian Motion, and Time Symmetry
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