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JOURNALS // Zapiski Nauchnykh Seminarov POMI // Archive

Zap. Nauchn. Sem. POMI, 2004 Volume 311, Pages 286–297 (Mi znsl802)

This article is cited in 3 papers

Inverse process with independent positive increments: finite-dimensional distributions

B. P. Harlamov

Institute of Problems of Mechanical Engineering, Russian Academy of Sciences

Abstract: An inverse process with independent positive increments is considered. For such a procees the first hitting time $\tau_x$ of the level $x$ as a function of $x\ge0$ is the proper process with independent positive increments. In terms of the first hitting times and their L'evy measures malti-demensional distribution densities and Laplace transformations are derived. Stationary distributions of increments of the process are being investigated.

UDC: 519.2

Received: 07.07.2004


 English version:
Journal of Mathematical Sciences (New York), 2006, 133:3, 1371–1377

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© Steklov Math. Inst. of RAS, 2024