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The time at which a levy process creeps

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Griffin, Philip S; Maller, Ross

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We show that if a Lévy process (Xt)t≥0 creeps then, as a function of u, the renewal function V(t, u) of the bivariate ascending ladder process (L-1,H) is absolutely continuous on [0,α) and left differentiable on (0, α), and the left derivative at u i

dc.contributor.authorGriffin, Philip S
dc.contributor.authorMaller, Ross
dc.date.accessioned2015-12-10T22:26:39Z
dc.identifier.issn1083-6489
dc.identifier.urihttp://hdl.handle.net/1885/53848
dc.description.abstractWe show that if a Lévy process (Xt)t≥0 creeps then, as a function of u, the renewal function V(t, u) of the bivariate ascending ladder process (L-1,H) is absolutely continuous on [0,α) and left differentiable on (0, α), and the left derivative at u i
dc.publisherInstitute of Mathematical Statistics
dc.rightsAuthor/s retain copyright
dc.sourceElectronic Journal of Probability
dc.subjectKeywords: Bivariate subordinator; Creeping by time t; Lévy process; Quintuple law; Second factorization identity
dc.titleThe time at which a levy process creeps
dc.typeJournal article
local.description.notesImported from ARIES
local.identifier.citationvolume16
dc.date.issued2011
local.identifier.absfor010504 - Mathematical Aspects of General Relativity
local.identifier.ariespublicationf5625xPUB285
local.type.statusPublished Version
local.contributor.affiliationGriffin, Philip S, Syracuse University
local.contributor.affiliationMaller, Ross, College of Business and Economics, ANU
local.bibliographicCitation.startpage2182
local.bibliographicCitation.lastpage2202
dc.date.updated2016-02-24T09:03:00Z
local.identifier.scopusID2-s2.0-83255186988
local.identifier.thomsonID000297757200001
dcterms.accessRightsOpen Access
CollectionsANU Research Publications

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