Short proofs in extrema of spectrally one sided Lévy processes

Abstract : 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 Lévy 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 [19] which gives an expression for the law of the supremum of spectrally positive Lévy processes. An analogous formula is obtained for the supremum of spectrally negative Lévy processes.
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Pré-publication, Document de travail
2018
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https://hal.archives-ouvertes.fr/hal-01769282
Contributeur : Loïc Chaumont <>
Soumis le : mardi 17 avril 2018 - 19:06:48
Dernière modification le : vendredi 20 avril 2018 - 12:16:27

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Loïc Chaumont, Jacek Małecki. Short proofs in extrema of spectrally one sided Lévy processes. 2018. 〈hal-01769282〉

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