A new approach to fluctuations of reflected Lévy processes

Details A new approach to fluctuations of reflected Lévy processes A new approach to fluctuations of reflected Lévy processes

2010-04-22

arxiv.org/abs/1004.3857v1

Mathematics

Probability

6 pages

Scientific paper

We present a new approach to fluctuation identities for reflected L\'{e}vy
processes with one-sided jumps. This approach is based on a number of easy to
understand observations and does not involve excursion theory or It\^{o}
calculus. It also leads to more general results.

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