Abstract
We introduce and describe several classes of martingales based on reflected Lévy processes. We show how these martingales apply to various problems, in particular in fluctuation theory, as an alternative to the use of excursion methods. Emphasis is given to the case of spectrally negative processes.
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© 2005 Springer-Verlag Berlin/Heidelberg
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Nguyen-Ngoc, L., Yor, M. (2005). Some Martingales Associated to Reflected Lévy Processes. In: Émery, M., Ledoux, M., Yor, M. (eds) Séminaire de Probabilités XXXVIII. Lecture Notes in Mathematics, vol 1857. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-31449-3_5
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DOI: https://doi.org/10.1007/978-3-540-31449-3_5
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Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-23973-4
Online ISBN: 978-3-540-31449-3
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