Some limit distributions for processes with independent increments.
Teoriâ veroâtnostej i ee primeneniâ, Tome 22 (1977) no. 1, pp. 179-186
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Let $\xi(t)$ ($t\ge 0$; $\xi(0)=y_0>0$) be a homogeneous continuous from the left and from below process with independent increments. Put $\displaystyle\eta=\sup\{t\colon\inf_{0\le s\le t}\xi(s)>0\}$.
This paper considers the limit distribution $\mathbf P\{\xi(t)$, $t\to\infty$.
@article{TVP_1977_22_1_a19,
author = {A. V. Pe\v{c}inkin},
title = {Some limit distributions for processes with independent increments.},
journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
pages = {179--186},
publisher = {mathdoc},
volume = {22},
number = {1},
year = {1977},
language = {ru},
url = {http://geodesic.mathdoc.fr/item/TVP_1977_22_1_a19/}
}
A. V. Pečinkin. Some limit distributions for processes with independent increments.. Teoriâ veroâtnostej i ee primeneniâ, Tome 22 (1977) no. 1, pp. 179-186. http://geodesic.mathdoc.fr/item/TVP_1977_22_1_a19/