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math.PR2014
Max-stable processes and stationary systems of Lévy particles
Sebastian Engelke, Zakhar Kabluchko
We study stationary max-stable processes admitting a representation of the form , where $\sum_{i=1}^{\infty}…
math.PR2014
A Lévy process on the real line seen from its supremum and max-stable processes
Sebastian Engelke, Jevgenijs Ivanovs
We consider a process on the real line composed from a Lévy process and its exponentially tilted version killed with arbitrary rates and give an expression for the joint law of…