Add to ORKGThe natural analogue for a Lévy process of Cramér's estimate for a reflected random walk is a statement about the exponential rate of decay of the tail of the characteristic measure of the height of an excursion above the minimum. We establish this est
In this paper we obtain lower bounds for the tails of the distributions of the first passage-times f...
For a given centered Gaussian process with stationary increments $\{X(t), t\geq 0\}$ and $c>0$, l...
The Levy Walk is the process with continuous sample paths which arises from consecutive linear motio...
12 pagesWe consider the exponential functional $A_{\infty}=\int_0^{\infty} e^{\xi_s} ds$ associated ...
It is known that simulation of the mean position of a Reflected Random Walk (RRW) {Wn} exhibits non...
This article is about right inverses of Lévy processes as first introduced by Evans in the symmetric...
Recent models of the insurance risk process use a Levy process to generalise the traditional Cramer-...
It is known that simulation of the mean position of a reflected random walk {Wn} exhibits non-standa...
AbstractRenewal-like results and stability theorems relating to the large-time behaviour of a random...
We define the reflection of a random walk at a general barrier and derive, in case the increments ar...
We determine conditions under which a subordinated random walk of the form S⌊ N(n)⌋ tends to infinit...
For a given Levy process X = ( X t ) t 2 R + and for xed s 2 R + [f1g and t 2 R + we analyse the fut...
The exact statistics of the estimated reflection coefficients for an autoregressive process are diff...
Let X be a Levy process with regularly varying Levy measure ν. We obtain sample-path large deviation...
We attempt an in-depth study of a so-called reinforced random process which behaves like a simple ...
In this paper we obtain lower bounds for the tails of the distributions of the first passage-times f...
For a given centered Gaussian process with stationary increments $\{X(t), t\geq 0\}$ and $c>0$, l...
The Levy Walk is the process with continuous sample paths which arises from consecutive linear motio...
12 pagesWe consider the exponential functional $A_{\infty}=\int_0^{\infty} e^{\xi_s} ds$ associated ...
It is known that simulation of the mean position of a Reflected Random Walk (RRW) {Wn} exhibits non...
This article is about right inverses of Lévy processes as first introduced by Evans in the symmetric...
Recent models of the insurance risk process use a Levy process to generalise the traditional Cramer-...
It is known that simulation of the mean position of a reflected random walk {Wn} exhibits non-standa...
AbstractRenewal-like results and stability theorems relating to the large-time behaviour of a random...
We define the reflection of a random walk at a general barrier and derive, in case the increments ar...
We determine conditions under which a subordinated random walk of the form S⌊ N(n)⌋ tends to infinit...
For a given Levy process X = ( X t ) t 2 R + and for xed s 2 R + [f1g and t 2 R + we analyse the fut...
The exact statistics of the estimated reflection coefficients for an autoregressive process are diff...
Let X be a Levy process with regularly varying Levy measure ν. We obtain sample-path large deviation...
We attempt an in-depth study of a so-called reinforced random process which behaves like a simple ...
In this paper we obtain lower bounds for the tails of the distributions of the first passage-times f...
For a given centered Gaussian process with stationary increments $\{X(t), t\geq 0\}$ and $c>0$, l...
The Levy Walk is the process with continuous sample paths which arises from consecutive linear motio...