Factorizing Laplace exponents in a spectrally positive Lévy process

Jean Bertoin

Stochastic Processes and their Applications, 1992, vol. 42, issue 2, 307-313

Abstract: Let X be a spectrally positive Lévy process. We observe that the factorization [kappa]1 = [kappa]2 ° [kappa]3 holds, where [kappa]1, [kappa]2, [kappa]3 are three Laplace exponents of subordinators naturally related to X. A Pitman's type transformation for X yields a simple pathwise explanation for this factorization. Embedding properties for ladder point sets are deduced.

Keywords: spectrally; positive; Lévy; process; subordinator; Laplace; exponent; ladder; point; set (search for similar items in EconPapers)
Date: 1992
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0304-4149(92)90042-O
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:42:y:1992:i:2:p:307-313

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().