Sample paths of a Lévy process leading to first passage over high levels in finite time

DOI10.1016/j.spa.2015.11.005zbMath1335.60073OpenAlexW2182864733MaRDI QIDQ265638

Dale O. Roberts, Philip S. Griffin

Publication date: 4 April 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2015.11.005

zbMATH Keywords

sample pathsLévy processesfirst passage probleminsurance risksemi-heavy tails

Mathematics Subject Classification ID

Cites Work

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