Fluctuation Theory for Lévy Processes

R. A. Doney

96 citations0/0 files storedBirkhäuser Boston eBooks

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Probability and Risk Models Probability and Statistical Research Stochastic processes and statistical mechanics

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.

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