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A path transformation and its applications to fluctuation theory. (English) Zbl 0936.60040

The author introduces a certain transformation of finite real-valued sequences which preserves the law of chains with exchangeable increments. This transformation is the key to an extension of an identity in distribution due to S. C. Port [J. Math. Anal. Appl. 6, 109-151 (1963; Zbl 0114.34101)]. It is then generalized to continuous times, and several interesting consequences are given.
Reviewer: J.Bertoin (Paris)

MSC:

60G51 Processes with independent increments; Lévy processes

Citations:

Zbl 0114.34101
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