On a fluctuation identity for multidimensional Lévy processes
type: Item
instance of: scholarly article
title: On a fluctuation identity for multidimensional Lévy processes
zbMATH Open document ID: 1028.60046
author: Yozo Tamura
author: Hiroshi Tanaka
published in: Tokyo Journal of Mathematics
publication date: 2004-01-13T00:00:00Z
review text: Fluctuation identities for one-dimensional Lévy processes are often called Wiener-Hopf factorizations. The authors prove a fluctuation identity for a multivariate Lévy process using a relevant choice of the approximating compound Poisson process.
reviewed by: Elisaveta Pancheva
Mathematics Subject Classification ID: 60G51
zbMATH DE Number: 1930971
zbMATH Keywords: Lévy process
zbMATH Keywords: compound Poisson process
zbMATH Keywords: random walk
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.3836/tjm/1244208860
OpenAlex ID: W2008560259
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DOI: 10.3836/TJM/1244208860
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description: scientific article; zbMATH DE number 1930971