Moments of last exit times for Lévy processes

zbMath1053.60048MaRDI QIDQ1434445

Toshiro Watanabe, Ken-iti Sato

Publication date: 4 August 2004

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=AIHPB_2004__40_2_207_0

zbMATH Keywords

Lévy processCharacteristic functionMomentLast exit time

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52)

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A long range dependence stable process and an infinite variance branching system ⋮ Central limit theorem for the capacity of the range of stable random walks ⋮ Strong transience for one-dimensional Markov chains with asymptotically zero drifts ⋮ On first returning time and last exit time of a class of Markov chain ⋮ Bridging the first and last passage times for Lévy models ⋮ Invariance principle for the capacity and the cardinality of the range of stable random walks ⋮ Convolution equivalence and distributions of random sums ⋮ Degrees of transience and recurrence and hierarchical random walks ⋮ Functional CLT for the range of stable random walks ⋮ Asymptotic estimates of multi-dimensional stable densities and their applications

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