Levy processes;
Excursion theory from a point;
Local times;
Fluctuation theory;
POINT-PROCESSES;
MARKOV PROCESS;
D O I:
10.1214/16-AIHP795
中图分类号:
O21 [概率论与数理统计];
C8 [统计学];
学科分类号:
020208 ;
070103 ;
0714 ;
摘要:
We provide a description of the excursion measure from a point for a spectrally negative Levy process. The description is based in two main ingredients. The first is building a spectrally negative Levy process conditioned to avoid zero and the study of its entrance law at zero. The latter is connected with both the excursion measure from zero of the process reflected in its infimum and reflected in its supremum. This leads us to establish a connection between the excursion measure from the state zero and the excursion measure from zero for the process reflected at the infimum and reflected at the supremum, respectively, which is the second main ingredient of our description.
机构:
Covea Finance, Quantitat Res Team, 8-12 Rue Boissy dAnglas, F-75008 Paris, FranceCovea Finance, Quantitat Res Team, 8-12 Rue Boissy dAnglas, F-75008 Paris, France
机构:
Hunan Normal Univ, Sch Math & Stat, MOE LCSM, Changsha 410081, Hunan, Peoples R ChinaHunan Normal Univ, Sch Math & Stat, MOE LCSM, Changsha 410081, Hunan, Peoples R China
Huang, Xuan
Zhou, Jieming
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机构:
Hunan Normal Univ, Sch Math & Stat, MOE LCSM, Changsha 410081, Hunan, Peoples R China
Hunan Normal Univ, Coll Hunan Prov, Sch Math & Stat, Key Lab Appl Stat & Data Sci, Changsha 410081, Hunan, Peoples R ChinaHunan Normal Univ, Sch Math & Stat, MOE LCSM, Changsha 410081, Hunan, Peoples R China