Premium
On a Fluctuation Identity for Random Walks and Lévy Processes
Author(s) -
Alili L.,
Chaumont L.,
Doney R. A.
Publication year - 2005
Publication title -
bulletin of the london mathematical society
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.396
H-Index - 48
eISSN - 1469-2120
pISSN - 0024-6093
DOI - 10.1112/s0024609304003789
Subject(s) - random walk , mathematics , identity (music) , mathematics subject classification , lévy process , subject (documents) , statistical physics , stochastic process , calculus (dental) , pure mathematics , statistics , computer science , physics , medicine , dentistry , library science , acoustics
In this paper, some identities in laws involving ladder processes for random walks and Lévy processes are extended and unified. 2000 Mathematics Subject Classification 60G50, 60G51 (primary), 60G17 (secondary).