7 citations · 7 across the 3 of their papers we have counts for
3 papers · 1 filter
Levy processes: Hitting time, overshoot and undershoot II - Asymptotic behaviour
Bernard Roynette, Pierre Vallois, Agnes Volpi
Let (X_t, t>=0) be a Levy process started at 0, with Levy measure nu and T_x the first hitting time of level x>0: T_x:=inf{t>=0; X_t>x}. Let $F(theta, mu, rho,.) be the joint Lapla…
Levy Processes: Hitting time, overshoot and undershoot - part I: Functional equations
Bernard Roynette, Pierre Vallois, Agnes Volpi
Let (X_t, t >=0) be a Levy process started at 0, with Levy measure nu, and T_x the first hitting time of level x>0: T_x := inf{t>=0; X_t>x}. Let F(theta,mu,rho,.) be the joint Lapl…
Some Connections Between (Sub)Critical Branching Mechanisms and Bernstein Functions
Jean Bertoin, Bernard Roynette, Marc Yor
We describe some connections, via composition, between two functional spaces: the space of (sub)critical branching mechanisms and the space of Bernstein functions. The functions ${…