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Some excursion calculations for reflected Lévy processes

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Using methods analogous to those introduced in Doney (2005), we express the resolvent density of a (killed) reflected Lévy process in terms of the resolvent density of the (killed) Lévy process. As an application we find a previously unknown identity for the potential density for killed reflected symmetric stable processes.

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en

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application/pdf

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http://eprints.lse.ac.uk/23925/1/Some_excursion_calculations_for_reflected_L%C3%A9vy_processes_%28LSERO%29.pdf

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