Applications of factorization embeddings for Lévy processes
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Publication:5395359
DOI10.1239/AAP/1158685001zbMath1104.60019OpenAlexW2013886353MaRDI QIDQ5395359
Publication date: 2 November 2006
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/aap/1158685001
Processes with independent increments; Lévy processes (60G51) Extreme value theory; extremal stochastic processes (60G70)
Related Items (8)
On fluctuation-theoretic decompositions via Lindley-type recursions ⋮ On the infimum attained by a reflected Lévy process ⋮ First Passage Times for Markov Additive Processes with Positive Jumps of Phase Type ⋮ Convolution equivalence and distributions of random sums ⋮ Extremes of Markov-additive processes with one-sided jumps, with queueing applications ⋮ Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations ⋮ On a generic class of two-node queueing systems ⋮ The uniform local asymptotics for a Lévy process and its overshoot and undershoot
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