Projects per year
Abstract
For a stable process, we give an explicit formula for the potential measure of the process killed outside a bounded interval and the joint law of the overshoot, undershoot and undershoot from the maximum at exit from a bounded interval. We obtain the equivalent quantities for a stable process reflected in its infimum. The results are obtained by exploiting a simple connection with the Lamperti representation and exit problems of stable processes.
Original language | English |
---|---|
Title of host publication | Seminaire de Probabilites XLV1 |
Editors | Catherine Donati-Martin, Antoine Lejay, Alain Roualt |
Place of Publication | Switzerland |
Publisher | Springer |
Pages | 333 - 344 |
Number of pages | 12 |
ISBN (Electronic) | 978-3-319-11970-0 |
DOIs | |
Publication status | Published - 30 Oct 2014 |
Publication series
Name | Seminaire de Probabilites |
---|---|
Publisher | Springer |
Volume | 2123 |
ISSN (Print) | 0720-8766 |
Fingerprint
Dive into the research topics of 'Potentials of stable processes'. Together they form a unique fingerprint.Projects
- 2 Finished
-
Self Similarity and Stable Processes
Kyprianou, A. (PI)
Engineering and Physical Sciences Research Council
1/10/14 → 30/03/16
Project: Research council
-
Real-Valued Self-Similar Markov Processes and their Applications
Kyprianou, A. (PI)
Engineering and Physical Sciences Research Council
2/06/14 → 1/10/17
Project: Research council