Moments of passage times for Lévy processes

DOI10.1016/S0246-0203(03)00069-4zbMath1042.60025OpenAlexW4256247675MaRDI QIDQ1434448

Ross A. Maller, Ronald Arthur Doney

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_3_279_0

zbMATH Keywords

Curved boundariesLocal timeStrong lawsDrift to infinityHorizontal boundariesLadder height processesPassage times of Lévy processesRenewal theorems

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stationary stochastic processes (60G10) Sums of independent random variables; random walks (60G50) Strong limit theorems (60F15) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Sample path properties (60G17) Renewal theory (60K05)

Related Items (13)

First passage times over stochastic boundaries for subdiffusive processes ⋮ Curve crossing for random walks reflected at their maximum ⋮ Stability of the exit time for Lévy processes ⋮ First passage time moments of asymmetric Lévy flights ⋮ The first passage time problem over a moving boundary for asymptotically stable Lévy processes ⋮ Exponential moments of first passage times and related quantities for Lévy processes ⋮ \(L^p\) optimal prediction of the last zero of a spectrally negative Lévy process ⋮ Small and large time stability of the time taken for a Lévy process to cross curved boundaries ⋮ Moment and MGF convergence of overshoots and undershoots for Lévy insurance risk processes ⋮ Asymptotics for the First Passage Times of Lévy Processes and Random Walks ⋮ Finite time ruin probabilities for tempered stable insurance risk processes ⋮ A lifetime of excursions through random walks and Lévy processes ⋮ Passage times of random walks and Lévy processes across power law boundaries

This page was built for publication: Moments of passage times for Lévy processes