Krein's Theory applied to fluctuations of Lévy processes - Université Pierre et Marie Curie Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2005

Krein's Theory applied to fluctuations of Lévy processes

Résumé

We give an interpretation of the bilateral exit problem for Lévy processes via the study of an elementary Markov chain. We exhibit a strong connection between this problem and Krein's theory on strings. For instance, for symmetric Lévy processes with bounded variations, the Lévy exponent is the correspondant spectral density and the Wiener-Hopf factorization turns out to be a version of Krein's entropy formula.
Fichier principal
Vignette du fichier
extendedabstarctmanchester.pdf (102.26 Ko) Télécharger le fichier

Dates et versions

hal-00008279 , version 1 (30-08-2005)

Identifiants

Citer

Sonia Fourati. Krein's Theory applied to fluctuations of Lévy processes. 2005. ⟨hal-00008279⟩
78 Consultations
80 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More