Penalisation of a stable Lévy process involving its one-sided supremum
Yano, Kouji ; Yano, Yuko ; Yor, Marc
Ann. Inst. H. Poincaré Probab. Statist., Tome 46 (2010) no. 1, p. 1042-1054 / Harvested from Project Euclid
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Penalisation involving the one-sided supremum for a stable Lévy process with index α∈(0, 2] is studied. We introduce the analogue of Azéma–Yor martingales for a stable Lévy process and give the law of the overall supremum under the penalised measure.
Publié le : 2010-11-15
Classification:  Stable Lévy processes,  Reflected Lévy processes,  Penalisation,  60B10,  60G52,  60G44 
@article{1288878337,
     author = {Yano, Kouji and Yano, Yuko and Yor, Marc},
     title = {Penalisation of a stable L\'evy process involving its one-sided supremum},
     journal = {Ann. Inst. H. Poincar\'e Probab. Statist.},
     volume = {46},
     number = {1},
     year = {2010},
     pages = { 1042-1054},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1288878337}
}

Yano, Kouji; Yano, Yuko; Yor, Marc. Penalisation of a stable Lévy process involving its one-sided supremum. Ann. Inst. H. Poincaré Probab. Statist., Tome 46 (2010) no. 1, pp.  1042-1054. http://gdmltest.u-ga.fr/item/1288878337/