Our aim here is to give a survey of that part of continuous-time fluctuation theory which can be approached in terms of functionals of Lévy processes, our principal tools being Wiener-Hopf factorisation and local-time theory. Particular emphasis is given to one- and two-sided exit problems for spectrally negative and spectrally positive processes, and their applications to queues and dams. In addition, we give some weak-convergence theorems of heavy-traffic type, and some tail-estimates involving regular variation.

Let {X(t),t ≧0} be a process with stationary independent increments which is stochastically continuous with right-continuous paths and normalized so that X(0)=0. Let Z 1(t) = X(t), Z 2(t) = sup0≦s≦t X(s) and Z 3 (t) = largest positive jump of X in (0, t] if there is one; = 0 otherwise. Then for i = 1,2,3 and x > 0: limt↓0t —1P[Zi (t) > x] = M +(x) at all points of continuity of M +, the Lévy measure of X.

We shall be concerned here with limit theorems arising in the fluctuation theory of random walks, processes with stationary independent increments, recurrent events and regenerative phenomena. In Section 1 on discrete time, we consider limit theorems for ladder-points (Theorem 1) and for maxima of partial sums of random variables (Theorem 2), and discuss some related questions. In Section 2 (Theorems 3 to 6) we consider the analogues of these results in continuous time.