Processus de L\’evy

Séminaire de Probabilités XXXVIII

Volume 1857 of the series Lecture Notes in Mathematics pp 16-29


A Martingale Review of some Fluctuation Theory for Spectrally Negative Lévy Processes

  • Andreas E. KyprianouAffiliated withMathematical Institute, Utrecht University Email author 
  • , Zbigniew PalmowskiAffiliated withMathematical Institute, Utrecht UniversityMathematical Institute, University of Wrocław

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We give a review of some fluctuation theory for spectrally negative Lévy processes using for the most part martingale theory. The methodology is based on the techniques found in Kyprianou and Palmowski (2003) which deal with similar issues for a general class of Markov additive processes.