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First passage times on zero and one and natural exponential families

✍ Scribed by Célestin C. Kokonendji

Publisher
Elsevier Science
Year
2001
Tongue
English
Weight
91 KB
Volume
51
Category
Article
ISSN
0167-7152

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✦ Synopsis

In this article, we link the ÿrst passage times on zero and one for certain LÃ evy processes on R and for right continuous random walks on Z. We use it to get a probabilistic interpretation of the notion of inversion between natural exponential families. The application to cubic variance functions is given.

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