An Extension of Pitman's Theorem for Spectrally Positive Levy Processes
نویسندگان
چکیده
منابع مشابه
Hitting densities for spectrally positive stable processes
A multiplicative identity in law connecting the hitting times of completely asymmetric α−stable Lévy processes in duality is established. In the spectrally positive case, this identity allows with an elementary argument to compute fractional moments and to get series representations for the density. We also prove that the hitting times are unimodal as soon as α ≤ 3/2. Analogous results are obta...
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ژورنال
عنوان ژورنال: The Annals of Probability
سال: 1992
ISSN: 0091-1798
DOI: 10.1214/aop/1176989701