Special, conjugate and complete scale functions for spectrally negative Lévy Following from recent developments in Hubalek and Kyprianou , the objective . Motivated by classical considerations from risk theory, we investigate boundary crossing problems for refracted Lévy processes. The latter is a Lévy process. The purpose of this article is to provide, with the help of a fluctuation identity, a generic link between a number of known identities for the first passage time and.
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Annals of Probability Vol.
 Meromorphic Levy processes and their fluctuation identities
Asymptotic behaviour of first passage time distributions for Levy processeswith R. Tail asymptotics for exponential functionals of Levy processes: A copy of this manuscript is available from the author upon request. Annals of Applied Probability 20 no 2, Emilia Caballero and Juan Ruiz de Chavez.
Self similar Markov processes With Pardo, J. Quasi-stationary distributions and Yaglom limits of self-similar Markov processes, with B. On the asymptotic behaviour of increasing self-similar Markov processeswith Maria Emilia Caballero.
Entrance laws for positive self-similar Markov processes.
Fluctuation theory and exit systems for positive self-similar Markov processeswith L. On branching process with rare neutral mutation.
Exact and asymptotic n-tuple laws at levj and last passagewith A. Kyprianou and Renming Song. On the density of exponential functionals of Levy processeswith J. In collaboration with Mena, R.
Kyprianou , Loeffen : Refracted Lévy processes
Submitted The excursion measure away from zero for spectrally negative Levy processes with Pardo, J. A law of iterated logarithm for increasing self-similar Markov processes Stochastics kyprianoi Stochastics Reports 75 6 Submitted Entrance laws for positive self-similar Markov processes Accepted for publication in the Proceedings of the First Congress of the Americas, Contemporary Mathematics Random coverings and self-similar Markov processes [ Introduction.
The Lamperti representation of real-valued self-similar Markov processeswith L. On exponential functionals, harmonic potential measures and undershoots of subordinatorsWith Alili, L.
Mathematics > Probability
Electronic Journal of Probability. Submitted Conditioned subordinators and applications with Kyprianou, A. Deep factorisation of the stable process II, potentials and applications. Stochastic Processes and their Applications 12, Conditioned real self-similar Markov processes. On random sets connected to the partial records of Poisson point processes Journal of Theoretical Probability 16 1 The kypriwnou measure away from zero for spectrally negative Levy processes with Pardo, J.
On some transformations between self-similar Markov processeswith Loic Chaumont. Journal of Theoretical Probability 23, Lecture Notes in MathematicsVol.
The theory of scale functions for spectrally negative Levy processeswith A. Stochastic Processes and their Applications, Kyprianou and Weerapat Satitkanitkul. Probability Theory and Related Fields Kyprianou and Bati Sengul.
Probability Theory and Related Fields Mexicana 3 19no. Electronic Journal of Probability Vol. Asymptotic behaviour of first passage time distributions for subordinators. Introduccion a los procesos de Markov auto-similares positivos Introduction to the theory of positive self-similar Markov processes Spanish Ky;rianou tought at the V Escuela de verano de Probabilidad, September Conditioned subordinators and applications with Kyprianou, A. Conditioned real self-similar Markov processes with Andreas E.
Bernoulli 13 4, In collaboration with Ma. Stochastic ModelsVol.