Some excursion calculations for reflected Lévy processes
Baurdoux, Erik J.
(2009)
Some excursion calculations for reflected Lévy processes
Alea: Latin American Journal of Probability and Mathematical Statistics, 6.
pp. 149-162.
ISSN 1980-0436
(2009)
Some excursion calculations for reflected Lévy processes
Alea: Latin American Journal of Probability and Mathematical Statistics, 6.
pp. 149-162.
ISSN 1980-0436
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.
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