Krein's Theory applied to fluctuations of Lévy processes

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dc.creatorFourati, Sonia
dc.date2005-08-30
dc.date.accessioned2026-07-07T05:22:47Z
dc.date.available2026-07-07T05:22:47Z
dc.descriptionWe give an interpretation of the bilateral exit problem for Lévy processes via the study of an elementary Markov chain. We exhibit a strong connection between this problem and Krein's theory on strings. For instance, for symmetric Lévy processes with bounded variations, the Lévy exponent is the correspondant spectral density and the Wiener-Hopf factorization turns out to be a version of Krein's entropy formula.
dc.identifierhttps://arxiv.org/abs/math/0508612
dc.identifierhttp://arxiv.org/abs/math/0508612
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/76199
dc.subjectProbability
dc.subject60G51 60G52 34L99
dc.titleKrein's Theory applied to fluctuations of Lévy processes
dc.typetext

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