Special, conjugate and complete scale functions for spectrally negative Lévy Following from recent developments in Hubalek and Kyprianou [28], 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.

Author: Tojagar Maumi
Country: Congo
Language: English (Spanish)
Genre: Career
Published (Last): 28 October 2017
Pages: 318
PDF File Size: 19.33 Mb
ePub File Size: 16.4 Mb
ISBN: 370-5-41330-811-9
Downloads: 65488
Price: Free* [*Free Regsitration Required]
Uploader: Maukora

Annals of Applied Probability 20 no 2, On the density of exponential functionals of Levy processeswith J. On exponential functionals, harmonic potential measures and undershoots of subordinatorsWith Alili, L.

Lecture Notes in MathematicsVol. Mexicana 3 19no. On branching process with rare neutral mutation. Stochastic Processes and their Applications 12, A copy of this manuscript is available from the author upon request. Asymptotic behaviour of first passage time distributions for Levy processeswith R.


Kyprianou and Bati Sengul. Special, conjugate and complete scale lrvy for spectrally negative Levy processeswith Andreas E.

Bernoulli 13 4, Introduccion a los procesos de Markov auto-similares positivos Introduction to the theory of positive self-similar Markov processes Spanish Course tought at the V Escuela de verano de Probabilidad, September Stochastic Processes and their Applications, On some transformations between self-similar Markov processeswith Loic Chaumont. Tail asymptotics for exponential functionals of Levy processes: A law of iterated logarithm for increasing self-similar Markov processes Stochastics and Stochastics Reports 75 ,yprianou Stochastic ModelsVol.

[] Meromorphic Levy processes and their fluctuation identities

Electronic Journal of Probability Vol. Emilia Caballero and Juan Ruiz de Chavez. Annals of Probability Vol. In collaboration with Mena, R.

Conditioned real self-similar Markov processes with Andreas E. In collaboration with Ma.

Conditioned real self-similar Markov processes. The Lamperti representation of real-valued self-similar Markov processeswith L. Submitted Conditioned subordinators and applications with Kyprianou, Kprianou.

Quasi-stationary distributions and Yaglom limits of self-similar Markov processes, with B. Probability Theory and Related Fields Deep factorisation of the stable process II, potentials and applications. The theory of scale functions for spectrally negative Levy processeswith A. Kyprianou and Renming Song.


Submitted The excursion measure away from zero for spectrally negative Levy processes with Pardo, J. Fluctuation theory and exit systems for positive self-similar Markov processeswith L.

Mathematics > Probability

Electronic Journal of Probability. Probability Theory and Related Fields Random coverings and self-similar Markov processes [ Introduction. Kyprianou and Weerapat Satitkanitkul. Conditioned subordinators ,yprianou applications with Kyprianou, A.

Journal of Theoretical Probability 23, On random sets connected to the partial records of Poisson point processes Journal of Theoretical Probability 16 1 Exact and asymptotic n-tuple laws at first and last passagewith A.

Submitted Entrance laws for positive self-similar Markov processes Accepted for publication in the Proceedings of the First Congress of the Americas, Contemporary Mathematics