×

zbMATH — the first resource for mathematics

A martingale review of some fluctuation theory for spectrally negative Lévy processes. (English) Zbl 1063.60071
Émery, Michel (ed.) et al., 38th seminar on probability. Dedicated Jacques Azéma on the occasion on his 65th birthday. Berlin: Springer (ISBN 3-540-23973-1/pbk). Lecture Notes in Mathematics 1857, 16-29 (2005).
Summary: We give a review of some fluctuation theory for spectrally negative Lévy processes using for the most part martingale theory. The methodology is based on the techniques found by the authors [“Fluctuations of spectrally negative Markov additive processes” (subm.)] which deal with similar issues for a general class of Markov additive processes.
For the entire collection see [Zbl 1055.60001].

MSC:
60G51 Processes with independent increments; Lévy processes
PDF BibTeX XML Cite