Add to ORKGLet Rt = sup0st Xs −Xt be a L´evy process reflected in its maximum. We give necessary and sufficient conditions for finiteness of passage times above power law boundaries at zero and infinity. Information, as to when the expected passage time for Rt is finite, is given
Given a spectrally negative Lévy process, we predict, in an $L_1$ sense, the last passage time of th...
AbstractWe investigate the reflection of a Lévy process at a deterministic, time-dependent barrier a...
We prove necessary and sufficient conditions for the almost sure convergence of the integrals ∫1∞ g(...
Let Rn = max0≤j≤n Sj − Sn be a random walk Sn reflected in its maximum. We give necessary and suffic...
Let R_n = max0<=j<=n S_j − S_n be a random walk S_n reflected in its maximum. We give necessary and ...
We give necessary and sufficient conditions, in terms of characteristics of the process, for finiten...
This paper is concerned with the small time behaviour of a Levy process X. In particular, we investi...
We establish an integral test involving only the distribution of the increments of a random walk S w...
This paper is concerned with the behaviour of a Lévy process when it crosses over a positive level, ...
We establish an integral test involving only the distribution of the increments of a random walk S w...
Let Rn = max0≤j≤n Sj - Sn be a random walk Sn reflected in its maximum. Except in the trivial case w...
This paper is concerned with the small time behaviour of a Lévy process X. In particular, we investi...
Let X be a Levy process and V the reflection at boundaries 0 and b > 0. A number of properties of V ...
We consider the problem of finding a stopping time that minimises the L 1-distance to θ, the time at...
Considérons un processus de Lévy complètement asymétrique dont les probabilités de transition s...
Given a spectrally negative Lévy process, we predict, in an $L_1$ sense, the last passage time of th...
AbstractWe investigate the reflection of a Lévy process at a deterministic, time-dependent barrier a...
We prove necessary and sufficient conditions for the almost sure convergence of the integrals ∫1∞ g(...
Let Rn = max0≤j≤n Sj − Sn be a random walk Sn reflected in its maximum. We give necessary and suffic...
Let R_n = max0<=j<=n S_j − S_n be a random walk S_n reflected in its maximum. We give necessary and ...
We give necessary and sufficient conditions, in terms of characteristics of the process, for finiten...
This paper is concerned with the small time behaviour of a Levy process X. In particular, we investi...
We establish an integral test involving only the distribution of the increments of a random walk S w...
This paper is concerned with the behaviour of a Lévy process when it crosses over a positive level, ...
We establish an integral test involving only the distribution of the increments of a random walk S w...
Let Rn = max0≤j≤n Sj - Sn be a random walk Sn reflected in its maximum. Except in the trivial case w...
This paper is concerned with the small time behaviour of a Lévy process X. In particular, we investi...
Let X be a Levy process and V the reflection at boundaries 0 and b > 0. A number of properties of V ...
We consider the problem of finding a stopping time that minimises the L 1-distance to θ, the time at...
Considérons un processus de Lévy complètement asymétrique dont les probabilités de transition s...
Given a spectrally negative Lévy process, we predict, in an $L_1$ sense, the last passage time of th...
AbstractWe investigate the reflection of a Lévy process at a deterministic, time-dependent barrier a...
We prove necessary and sufficient conditions for the almost sure convergence of the integrals ∫1∞ g(...