Potentials of stable processes

Andreas Kyprianou, A. R. Watson

Research output: Chapter or section in a book/report/conference proceedingChapter or section

5 Citations (SciVal)
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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 languageEnglish
Title of host publicationSeminaire de Probabilites XLV1
EditorsCatherine Donati-Martin, Antoine Lejay, Alain Roualt
Place of PublicationSwitzerland
Pages333 - 344
Number of pages12
ISBN (Electronic)978-3-319-11970-0
Publication statusPublished - 30 Oct 2014

Publication series

NameSeminaire de Probabilites
ISSN (Print)0720-8766


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