A new approach to fluctuations of reflected L\'{e}vy processes
Probability
2010-04-23 v1
Abstract
We present a new approach to fluctuation identities for reflected L\'{e}vy processes with one-sided jumps. This approach is based on a number of easy to understand observations and does not involve excursion theory or It\^{o} calculus. It also leads to more general results.
Cite
@article{arxiv.1004.3857,
title = {A new approach to fluctuations of reflected L\'{e}vy processes},
author = {Jevgenijs Ivanovs},
journal= {arXiv preprint arXiv:1004.3857},
year = {2010}
}
Comments
6 pages