Fluctuation Theory for Lévy Processes

Ronald Doney ()
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Ronald Doney: Manchester University, Mathematics Department

A chapter in Lévy Processes, 2001, pp 57-66 from Springer

Abstract: Abstract Recently there has been renewed interest in fluctuation theory for Lévy processes. Inthis brief survey we describe several aspects of this topic, including Wiener-Hopf factorisation,the ladder processes, Spitzer’s condition, the asymptotic behaviour of Lévy processes at zero and infinity, and other path properties. Some open problems are also presented.

Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4612-0197-7_3

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DOI: 10.1007/978-1-4612-0197-7_3

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