R. Doney

most citedOvershoots and undershoots of Lévy processes

114 citations · 114 across the 2 of their papers we have counts for

collaborators

2 papers

math.PR2007

A note on the supremum of a stable process

R. A. Doney

If $X$ is a spectrally positive stable process of index $α \in (1, 2)$ whose Lévy measure has density $c x^{- α - 1}$ on $(0, \infty),$ and $S_{1} = sup_{0 < t \leq 1} X_{t},$ it is known that $P(S_…

math.PR2006★ 114 cited

Overshoots and undershoots of Lévy processes

R. A. Doney, A. E. Kyprianou

We obtain a new fluctuation identity for a general Lévy process giving a quintuple law describing the time of first passage, the time of the last maximum before first passage, the…