Lévy processes with negative drift conditioned to stay positive

DOI10.3836/tjm/1255958329zbMath1020.60040OpenAlexW2053713245MaRDI QIDQ5946909

Katsuhiro Hirano

Publication date: 25 August 2003

Published in: Tokyo Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3836/tjm/1255958329

zbMATH Keywords

first passage timeLévy processconditional distributionfluctuation theoryrenewal function

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Markov renewal processes, semi-Markov processes (60K15) Local time and additive functionals (60J55) Transition functions, generators and resolvents (60J35)

Related Items (6)

Splitting and time reversal for Markov additive processes ⋮ Zooming in on a Lévy process at its supremum ⋮ Lévy processes conditioned on having a large height process ⋮ Asymptotic results for exponential functionals of Lévy processes ⋮ Population Dynamics and Random Genealogies ⋮ Stable processes conditioned to avoid an interval

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