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Fluctuation identities for lévy processes and splitting at the maximum

  • Priscilla Greenwood (a1) and Jim Pitman (a2)
Abstract

Itô's notion of a Poisson point process of excursions is used to give a unified approach to a number of results in the fluctuation theory of Lévy processes, including identities of Pecherskii, Rogozin and Fristedt, and Millar's path decomposition at the maximum.

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Corresponding author
Postal address: Department of Mathematics, University of British Columbia, Vancouver, B.C., Canada.
∗∗Postal address: Department of Statistics, University of California, Berkeley, CA 94720, U.S.A.
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This author's research was partly supported by NSF Grant No. MCS 78-25301.

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References
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Advances in Applied Probability
  • ISSN: 0001-8678
  • EISSN: 1475-6064
  • URL: /core/journals/advances-in-applied-probability
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