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Fluctuation identities for lévy processes and splitting at the maximum

Published online by Cambridge University Press:  01 July 2016

Priscilla Greenwood  and
Jim Pitman
Priscilla Greenwood*
Affiliation:
University of British Columbia
Jim Pitman*
Affiliation:
University of California, Berkeley
*
∗Postal address: Department of Mathematics, University of British Columbia, Vancouver, B.C., Canada.
∗∗Postal address: Department of Statistics, University of California, Berkeley, CA 94720, U.S.A.
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Abstract

Itô's notion of a Poisson point process of excursions is used to give a unified approach to a number of results in the fluctuation theory of Lévy processes, including identities of Pecherskii, Rogozin and Fristedt, and Millar's path decomposition at the maximum.

Keywords

LEVY PROCESSSPLITTING TIMEFLUCTUATION THEORYPOINT PROCESS OF EXCURSIONS
Type
Research Article
Information
Advances in Applied Probability , Volume 12 , Issue 4 , December 1980 , pp. 893 - 902
Copyright
Copyright © Applied Probability Trust 1980 

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Footnotes

This author's research was partly supported by NSF Grant No. MCS 78-25301.

References

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