114 citations · 120 across the 5 of their papers we have counts for
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Cramér's Estimate for the Reflected Process Revisited
R. A. Doney, Philip S. Griffin
The reflected process of a random walk or Lévy process arises in many areas of applied probability, and a question of particular interest is how the tail of the distribution of the…
Passage time and fluctuation calculations for subexponential Lévy processes
Ron Doney, Claudia Klüppelberg, Ross Maller
We consider the passage time problem for Lévy processes, emphasising heavy tailed cases. Results are obtained under quite mild assumptions, namely, drift to a.s. of the p…
A note on the supremum of a stable process
R. A. Doney
If is a spectrally positive stable process of index whose Lévy measure has density on and it is known that $P(S_…
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…
On Lévy processes conditioned to stay positive
Loïc Chaumont, Ron A. Doney
We construct the law of Lévy processes conditioned to stay positive under general hypotheses. We obtain a Williams type path decomposition at the minimum of these processes. This r…