| Université Paris 6 Pierre et Marie Curie | Université Paris 7 Denis Diderot | |
| CNRS U.M.R. 7599 | ||
| ``Probabilités et Modèles Aléatoires'' | ||
Auteur(s):
Code(s) de Classification MSC:
Résumé: In this paper, we give under mild integrability assumptions an analytical characterization of the law of the height of the generic excursion for a Lévy process $X$ reflected at its maximum. We also give (yet) another proof of a description of Itô's excursion measure of the reflected process away from 0.
Mots Clés: Reflected Lévy processes ; excursions ; height of an excursion ; two-sided exit ; integral equation ; excursion measure ; Williams' description
Date: 2003-10-06
Prépublication numéro: PMA-852