Lévy processes with no positive jumps at an increase time |
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Authors: | Jean Bertoin |
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Affiliation: | (1) Laboratoire de Probabilités (CNRS), Tour 56, Université Pierre et Marie Curie, 4 Place Jussieu, F-75252 Paris Cedex 05, France |
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Abstract: | Summary We study the behaviour of a Lévy process with no positive jumps near its increase times. Specifically, we construct a local time on the set of increase times. Then, we describe the path decomposition at an increase time chosen at random according to the local time, and we evaluate the rate of escape before and after this instant. |
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Keywords: | 60 J 30 60 G 17 |
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