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: | Vurg Brakus |

Country: | Uzbekistan |

Language: | English (Spanish) |

Genre: | Video |

Published (Last): | 12 December 2009 |

Pages: | 463 |

PDF File Size: | 11.69 Mb |

ePub File Size: | 16.86 Mb |

ISBN: | 239-9-67608-284-5 |

Downloads: | 79225 |

Price: | Free* [*Free Regsitration Required] |

Uploader: | Mataxe |

Submitted Entrance laws for positive self-similar Markov processes Accepted for publication in oyprianou Proceedings of the First Congress of the Americas, Contemporary Mathematics Kyprianou and Weerapat Satitkanitkul.

A copy of this manuscript is available from the author upon request. On exponential functionals, harmonic potential measures and undershoots of subordinatorsWith Alili, L.

Submitted The excursion measure away from zero for spectrally negative Levy processes with Pardo, J. Mexicana 3 19no. Asymptotic behaviour of first passage time distributions for Levy processeswith R. On the density of exponential functionals of Levy processeswith J. Self similar Markov processes With Pardo, J. Quasi-stationary distributions and Yaglom limits of self-similar Markov processes, ldvy B.

### [] Meromorphic Levy processes and their fluctuation identities

Emilia Caballero and Juan Ruiz de Chavez. 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 On kypriaanou transformations between self-similar Markov processeswith Loic Chaumont.

Stochastic Processes and their Applications 12, Fluctuation theory and exit systems for positive self-similar Markov processeswith L.

The excursion measure away from zero levh spectrally negative Levy processes with Pardo, J. Conditioned real self-similar Markov processes. Asymptotic behaviour of first passage time distributions for subordinators. Kyprianou and Bati Sengul. Stochastic Processes and their Applications, Entrance laws for positive self-similar Markov processes. Stochastic ModelsVol. Electronic Journal of Probability Vol.

Submitted Conditioned kyprlanou and applications with Kyprianou, A. On random sets connected to the partial records of Poisson point processes Journal of Theoretical Probability 16 1 A law of iterated logarithm for increasing self-similar Markov processes Stochastics and Stochastics Reports 75 6 Probability Theory and Related Fieldskypriianou Random coverings and self-similar Markov processes [ Introduction.

Conditioned real self-similar Markov processes with Andreas E. On the asymptotic behaviour of increasing self-similar Markov processeswith Maria Emilia Caballero.

## Mathematics > Probability

Exact and asymptotic n-tuple laws at first and last passagewith A. Tail asymptotics for exponential functionals of Levy processes: Annals of Applied Probability 20 no 2, Kyprianou and Renming Song.

In collaboration with Mena, R. Journal of Theoretical Probability 23, The Lamperti oevy of real-valued self-similar Markov processeswith L. Annals of Probability Vol.

On branching process with rare neutral mutation. Probability Theory and Related Fields Bernoulli 13 4, The theory of scale functions for spectrally negative Levy processeswith A.

### Kyprianou , Loeffen : Refracted Lévy processes

Special, conjugate and complete scale functions for spectrally negative Levy processeswith Andreas E. Deep factorisation of the stable process II, potentials and applications.

Lecture Notes in MathematicsVol. In collaboration with Ma. Electronic Journal of Probability.