These are processes A whose conditional laws, given some driving process X, are those of a process with independent increments. The treatment is limited to such increasing processes A, without assumptions on the law of X. Considering the time T of crossing some fixed threshold value by A, we derive
✦ LIBER ✦
Lower functions for asymmetric Lévy processes
✍ Scribed by In-Suk Wee
- Publisher
- Springer
- Year
- 1990
- Tongue
- English
- Weight
- 751 KB
- Volume
- 85
- Category
- Article
- ISSN
- 1432-2064
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