Stochastic bounds for Lévy processes.

DOI10.1214/009117904000000315zbMath1046.60045arXivmath/0410153OpenAlexW1837544566MaRDI QIDQ1879836

Ronald Arthur Doney

Publication date: 15 September 2004

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

Full work available at URL: https://arxiv.org/abs/math/0410153

zbMATH Keywords

Lévy processesrandom walksexit times

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Sample path properties (60G17)

Related Items

Curve crossing for random walks reflected at their maximum ⋮ Stability of the exit time for Lévy processes ⋮ Finite approximation schemes for Lévy processes, and their application to optimal stopping problems ⋮ A Wiener-Hopf Monte Carlo simulation technique for Lévy processes ⋮ Applications of factorization embeddings for Lévy processes ⋮ On the limiting behaviour of Lévy processes at zero ⋮ Convergence of the all-time supremum of a Lévy process in the heavy-traffic regime ⋮ Drift to infinity and the strong law for subordinated random walks and Lévy processes ⋮ A lifetime of excursions through random walks and Lévy processes ⋮ Passage times of random walks and Lévy processes across power law boundaries ⋮ Finiteness of integrals of functions of Lévy processes

Cites Work

• Unnamed Item
• Random walks crossing high level curved boundaries
• Infinite limits and infinite limit points of random walks and trimmed sums
• Divergence of a random walk through deterministic and random subsequences
• Stability and attraction to normality for Lévy processes at zero and at infinity
• Stability of the overshoot for Lévy processes
• Two renewal theorems for general random walks tending to infinity
• Moments for first-passage and last-exit times, the minimum, and related quantities for random walks with positive drift
• On the arc-sine laws for Lévy processes
• The Limit Points of a Normalized Random Walk