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20052022
most citedSome remarks on first passage of Levy processes, the American put and pasting principles

185 citations · 819 across the 64 of their papers we have counts for

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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…