Penalisation of a stable Lévy process involving its one-sided supremum

DOI10.1214/09-AIHP339zbMath1208.60046OpenAlexW2052836064WikidataQ58331051 ScholiaQ58331051MaRDI QIDQ629787

Marc Yor, Yuko Yano, Kouji Yano

Publication date: 10 March 2011

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/240896

zbMATH Keywords

stable Lévy processespenalisationreflected Lévy processes

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Convergence of probability measures (60B10) Stable stochastic processes (60G52)

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The first passage time of a stable process conditioned to not overshoot ⋮ A remarkable \(\sigma\)-finite measure unifying supremum penalisations for a stable Lévy process ⋮ MFO-RIMS tandem workshop: Nonlocality in analysis, probability and statistics. Abstracts from the MFO-RIMS tandem workshop held March 20--26, 2022 ⋮ Scaled Penalization of Brownian Motion with Drift and the Brownian Ascent ⋮ Some limiting laws associated with the integrated Brownian motion ⋮ On universality in penalisation problems with multiplicative weights

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