Inverse Process with Independent Positive Increments: Finite-Dimensional Distributions |
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Authors: | B. P. Harlamov |
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Affiliation: | (1) Institute of Engineering Problems, Russian Academy of Sciences, St.Petersburg, Russia |
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Abstract: | An inverse process with independent positive increments is considered. For such a process, the first hitting time τx of level x as a function of x ≥ 0 is a proper process with independent positive increments. In terms of first hitting times and their Levy measures, multidemensional distribution densities and Laplace transformations are derived. Stationary distributions of increments of the process are investigated. Bibliography: 8 titles. __________ Translated from Zapiski Nauchnykh Seminarov POMI, Vol. 311, 2004, pp. 286–297. |
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