Fluctuation identities for lévy processes and splitting at the maximum

1 June 1980

journal article
research article
Published by Cambridge University Press (CUP) in Advances in Applied Probability

Vol. 12 (04) , 893-902
https://doi.org/10.1017/s0001867800020152

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.

Keywords

This publication has 5 references indexed in Scilit:

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