First exit times for Lévy-driven diffusions with exponentially light jumps

DOI10.1214/08-AOP412zbMath1184.60019arXiv0711.0982OpenAlexW1994577059MaRDI QIDQ1019089

Peter Imkeller, Torsten Wetzel, Ilya Pavlyukevitch

Publication date: 27 May 2009

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0711.0982

zbMATH Keywords

Lévy processfirst exit timejump diffusionsub-exponential and super-exponential tail

Mathematics Subject Classification ID

Large deviations (60F10) Sample path properties (60G17) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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