| Autor: |
Chaumont, Loïc, Małecki, Jacek |
| Rok vydání: |
2018 |
| Předmět: |
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| Druh dokumentu: |
Working Paper |
| Popis: |
We provide short and simple proofs of the continuous time ballot theorem for processes with cyclically interchangeable increments and Kendall's identity for spectrally positive L\'evy processes. We obtain the later result as a direct consequence of the former. The ballot theorem is extended to processes having possible negative jumps. Then we prove through straightforward arguments based on the law of bridges and Kendall's identity, Theorem 2.4 in \cite{mpp} which gives an expression for the law of the supremum of spectrally positive L\'evy processes. An analogous formula is obtained for the supremum of spectrally negative L\'evy processes. |
| Databáze: |
arXiv |
| Externí odkaz: |
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