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arXiv · 1004.3857

A new approach to fluctuations of reflected Lévy processes

Jevgenijs Ivanovs
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Abstract

We present a new approach to fluctuation identities for reflected Lévy processes with one-sided jumps. This approach is based on a number of easy to understand observations and does not involve excursion theory or Itô calculus. It also leads to more general results.

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Jevgenijs Ivanovs. 2010-04-22. A new approach to fluctuations of reflected Lévy processes. https://arxiv.org/abs/1004.3857

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