On the Scaling Property in Fluctuation Theory for Stable Lévy Processes

DOI10.1137/S0040585X97985157zbMath1238.60052arXiv1007.3959OpenAlexW2044330023MaRDI QIDQ2882302

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Publication date: 4 May 2012

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1007.3959

zbMATH Keywords

Lévy processesfirst passage timestable processesfluctuation theoryscaling propertyovershoots

Mathematics Subject Classification ID

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

Related Items (1)

The first passage time of a stable process conditioned to not overshoot

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