On Wiener-Hopf factors for stable processes

DOI10.1214/09-AIHP348zbMath1208.60044arXiv1001.1230MaRDI QIDQ629794

Tomasz Jakubowski, Piotr Graczyk

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://arxiv.org/abs/1001.1230

zbMATH Keywords

Wiener-Hopf factorizationstable process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Characteristic functions; other transforms (60E10) Stable stochastic processes (60G52)

Related Items (7)

Fluctuation theory for Lévy processes with completely monotone jumps ⋮ Suprema of Lévy processes ⋮ Law of the first passage triple of a spectrally positive strictly stable process ⋮ On the supremum of the spectrally negative stable process with drift ⋮ On exit time of stable processes ⋮ On extrema of stable processes ⋮ Spectral theory for one-dimensional (non-symmetric) stable processes killed upon hitting the origin

Cites Work

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• Introductory lectures on fluctuations of Lévy processes with applications.
• A Note on Life-span of Classical Solutions to the Hele—Shaw Problem
• The Maximum of Sums of Stable Random Variables
• Maxima of sums of random variables and suprema of stable processes

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