Some excursion calculations for reflected Lévy processes
Baurdoux, E. J.
(2009).
Some excursion calculations for reflected Lévy processes.
Alea: Latin American Journal of Probability and Mathematical Statistics,
6, 149-162.
(2009).
Some excursion calculations for reflected Lévy processes.
Alea: Latin American Journal of Probability and Mathematical Statistics,
6, 149-162.
Using methods analogous to those introduced in Doney (2005), we express the resolvent density of a (killed) reflected Lévy process in terms of the resolvent density of the (killed) Lévy process. As an application we find a previously unknown identity for the potential density for killed reflected symmetric stable processes.