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Fluctuation Theory for Lévy Processes

  • Chapter
Lévy Processes

Abstract

Recently there has been renewed interest in fluctuation theory for Lévy processes. Inthis brief survey we describe several aspects of this topic, including Wiener-Hopf factorisation,the ladder processes, Spitzer’s condition, the asymptotic behaviour of Lévy processes at zero and infinity, and other path properties. Some open problems are also presented.

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Author information

Authors and Affiliations

  1. Mathematics Department, Manchester University, Manchester, M13 9PL, UK

    Ronald Doney

Authors
  1. Ronald Doney
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Editor information

Editors and Affiliations

  1. Department of Mathematical Sciences, University of Aarhus, Dk-8000, Aarhus, Denmark

    Ole E. Barndorff-Nielsen

  2. School of ORIE, Cornell University, Ithaca, NY, 14853, USA

    Sidney I. Resnick

  3. Laboratory of Actuarial Mathematics, University of Copenhagen, Universitetsparken 5, DK-2100, Copenhagen, Denmark

    Thomas Mikosch

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© 2001 Springer Science+Business Media New York

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Doney, R. (2001). Fluctuation Theory for Lévy Processes. In: Barndorff-Nielsen, O.E., Resnick, S.I., Mikosch, T. (eds) Lévy Processes. Birkhäuser, Boston, MA. https://doi.org/10.1007/978-1-4612-0197-7_3

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  • DOI: https://doi.org/10.1007/978-1-4612-0197-7_3

  • Publisher Name: Birkhäuser, Boston, MA

  • Print ISBN: 978-1-4612-6657-0

  • Online ISBN: 978-1-4612-0197-7

  • eBook Packages: Springer Book Archive

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