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pro vyhledávání: '"Doney, R. A."'
Autor:
Doney, R. A., Griffin, Philip S.
The reflected process of a random walk or L\'evy process arises in many areas of applied probability, and a question of particular interest is how the tail of the distribution of the heights of the excursions away from zero behaves asymptotically. Th
Externí odkaz:
http://arxiv.org/abs/1708.02470
Autor:
Doney, R. A.
A necessary and sufficient condition is established for an asymptotically stable renewal process to satisfy the strong renewal theorem. This result is valid for all alpha in (0, 1), thus completing a result for alpha in (1/2, 1) which was proved in t
Externí odkaz:
http://arxiv.org/abs/1507.06790
Autor:
Doney, R. A., Savov, M. S.
Publikováno v:
Annals of Probability 2010, Vol. 38, No. 1, 316-326
If $X$ is a stable process of index $\alpha\in(0,2)$ whose L\'{e}vy measure has density $cx^{-\alpha-1}$ on $(0,\infty)$, and $S_1=\sup_{0x)\backsim A\alpha ^{-1}x^{-\alpha}$ as $x\to\infty$ and $P(S_1\leq x)\bac
Externí odkaz:
http://arxiv.org/abs/1001.4872
Autor:
Doney, R. A., Griffin, Philip S.
Publikováno v:
The Annals of Applied Probability, 2018 Dec 01. 28(6), 3629-3651.
Externí odkaz:
https://www.jstor.org/stable/26542498
Autor:
Doney, R. A.
If $X$ is a spectrally positive stable process of index $\alpha\in(1,2)$ whose L\'{e}vy measure has density $cx^{-\alpha-1}$ on $(0,\infty),$ and $S_1=\sup_{0x)\backsim c\alpha^{-1}x^{-\alpha}$ as $x\to\infty.$ I
Externí odkaz:
http://arxiv.org/abs/0712.3414
Autor:
Doney, R. A., Kyprianou, A. E.
Publikováno v:
Annals of Applied Probability 2006, Vol. 16, No. 1, 91-106
We obtain a new fluctuation identity for a general L\'{e}vy process giving a quintuple law describing the time of first passage, the time of the last maximum before first passage, the overshoot, the undershoot and the undershoot of the last maximum.
Externí odkaz:
http://arxiv.org/abs/math/0603210
Autor:
Doney, R. A., Maller, R. A.
Publikováno v:
Annals of Applied Probability 2005, Vol. 15, No. 2, 1445-1450
The natural analogue for a Levy process of Cramer's estimate for a reflected random walk is a statement about the exponential rate of decay of the tail of the characteristic measure of the height of an excursion above the minimum. We establish this e
Externí odkaz:
http://arxiv.org/abs/math/0505246
Autor:
Doney, R. A.
Publikováno v:
Annals of Probability 2004, Vol. 32, No. 2, 1545-1552
Using the Wiener-Hopf factorization, it is shown that it is possible to bound the path of an arbitrary Levy process above and below by the paths of two random walks. These walks have the same step distribution, but different random starting points. I
Externí odkaz:
http://arxiv.org/abs/math/0410153
Autor:
Doney, R. A., Griffin, P. S.
Publikováno v:
Advances in Applied Probability, 2004 Dec 01. 36(4), 1148-1174.
Externí odkaz:
https://www.jstor.org/stable/4140392
Autor:
Doney, R. A., Griffin, P. S.
Publikováno v:
Advances in Applied Probability, 2003 Jun 01. 35(2), 417-448.
Externí odkaz:
https://www.jstor.org/stable/1428430