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ON A FLUCTUATION IDENTITY FOR RANDOM WALKS AND LÉVY PROCESSES

Published online by Cambridge University Press:  08 February 2005

L. ALILI ,
L. CHAUMONT  and
R. A. DONEY
L. ALILI
Affiliation:
Department of Mathematics, ETH-Zentrum, HG G 51.2, CH-8092, Zürich, [email protected]
L. CHAUMONT
Affiliation:
Laboratoire de Probabilités et Modèles Aléatoires, Université Pierre et Marie Curie, 4, Place Jussieu-75252, Paris Cedex 05, [email protected]
R. A. DONEY
Affiliation:
Department of Mathematics, University of Manchester, Oxford Road, Manchester M13 9PL, United [email protected]
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Abstract

In this paper, some identities in laws involving ladder processes for random walks and Lévy processes are extended and unified.

Keywords

60G5060G51 (primary)60G17 (secondary)
Type
Papers
Information
Bulletin of the London Mathematical Society , Volume 37 , Issue 1 , January 2005 , pp. 141 - 148
Copyright
© The London Mathematical Society 2005

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