On a Fluctuation Identity for Random Walks and Lévy Processes
Auteur
Alili, L.. Department of Mathematics ETH-Zentrum, HG G 51.2, CH-8092, Zürich, Switzerland; alilil2002@yahoo.fr
Chaumont, L.. Laboratoire de Probabilités et Modèles Aléatoires, Université Pierre et Marie Curie 4, Place Jussieu-75252, Paris Cedex 05, France; chaumont@ccr.jussieu.fr
Doney, R. A.. Department of Mathematics, University of Manchester Oxford Road, Manchester M13 9PL, United Kingdom; rad@maths.man.ac.uk
Type de document
Postprint
Langue
Anglais
Publié dans
Bulletin of the London Mathematical Society, 2005, vol. 37, no. 1, p. 141-148. Oxford University Press
In this paper, some identities in laws involving ladder processes for random walks and Lévy processes are extended and unified. 2000 Mathematics Subject Classification 60G50, 60G51 (primary), 60G17 (secondary)