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pro vyhledávání: '"Philip Weissmann"'
Autor:
Leif Döring, Philip Weissmann
Publikováno v:
MADOC-University of Mannheim
Bernoulli 26, no. 2 (2020), 980-1015
Bernoulli 26, no. 2 (2020), 980-1015
Conditioning stable L\'evy processes on zero probability events recently became a tractable subject since several explicit formulas emerged from a deep analysis using the Lamperti transformations for self-similar Markov processes. In this article we
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fc70ec6ce2af2160a49620ce65f5fbff
https://doi.org/10.3150/19-bej1134
https://doi.org/10.3150/19-bej1134
Publikováno v:
Doring, L, Watson, A R & Weissmann, P 2019, ' Levy processes with finite variance conditioned to avoid an interval ', Electronic Journal of Probability . < https://projecteuclid.org/euclid.ejp/1559700305#info >
MADOC-University of Mannheim
Electron. J. Probab.
MADOC-University of Mannheim
Electron. J. Probab.
Conditioning Markov processes to avoid a set is a classical problem that has been studied in many settings. In the present article we study the question if a Levy process can be conditioned to avoid an interval and, if so, the path behavior of the co
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1b6933fb825b30dea8590f97591cb3ba
https://www.research.manchester.ac.uk/portal/en/publications/levy-processes-with-finite-variance-conditioned-to-avoid-an-interval(c608302b-9edc-4cee-b407-7e8435f45253).html
https://www.research.manchester.ac.uk/portal/en/publications/levy-processes-with-finite-variance-conditioned-to-avoid-an-interval(c608302b-9edc-4cee-b407-7e8435f45253).html
Autor:
Pierre Lenthe, Philip Weissmann
In the recent article D\"oring et al. [4] the authors conditioned a stable process with two-sided jumps to avoid an interval. As usual the strategy was to find an invariant function for the process killed on entering the interval and to show that the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7f0fe413a0164f417b7e6b634dbed31b
Conditioning Markov processes to avoid a domain is a classical problem that has been studied in many settings. Ingredients for standard arguments involve the leading order tail asymptotics of the distribution of the first hitting time of the domain o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::313d86e711259bd8f638ecfff39b7b4e