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Fluctuation identities for random walk by path decomposition at the maximum

Published online by Cambridge University Press:  01 July 2016

Priscilla Greenwood  and
Jim Pitman
Priscilla Greenwood
Affiliation:
(University of British Columbia)
Jim Pitman
Affiliation:
(University of California at Berkeley)
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Abstract

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Type
Ninth Conference on Stochastic Processes and their Applications, Evanston, Illinois, 6–10 August 1979
Information
Advances in Applied Probability , Volume 12 , Issue 2 , June 1980 , pp. 291 - 293
Copyright
Copyright © Applied Probability Trust 1980 

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References

Feller, W. (1966) An Introduction to Probability Theory and its Applications, Vol. II. Wiley, New York.Google Scholar
Freedman, D. (1971) Markov Chains. Holden–Day, San Francisco.Google Scholar
Fristedt, B. (1974) Sample functions of stochastic processes with stationary, independent increments. Adv. Prob. 3, 241–395.Google Scholar
Greenwood, P. and Pitman, J. (1979) Fluctuation identities for Lévy processes by path decomposition at the maximum.Google Scholar
Spitzer, E. (1956) A combinatorial lemma and its application to probability theory. Trans. Amer. Math. Soc. 82, 323–339.Google Scholar