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Bulletin of the London Mathematical Society 2005 37(1):141-148; doi:10.1112/S0024609304003789
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© London Mathematical Society

On a Fluctuation Identity for Random Walks and Lévy Processes

L. Alili, L. Chaumont and R. A. Doney

Department of Mathematics ETH-Zentrum, HG G 51.2, CH-8092, Zürich, Switzerland; alilil2002{at}yahoo.fr
Laboratoire de Probabilités et Modèles Aléatoires, Université Pierre et Marie Curie 4, Place Jussieu-75252, Paris Cedex 05, France; chaumont{at}ccr.jussieu.fr
Department of Mathematics, University of Manchester Oxford Road, Manchester M13 9PL, United Kingdom; rad{at}maths.man.ac.uk

Received 19 August 2003. Revision received 28 January 2004.

In this paper, some identities in laws involving ladder processes for random walks and Lévy processes are extended and unified. 2000 Mathematics Subject Classification 60G50, 60G51 (primary), 60G17 (secondary).


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