First Passage Problems over Increasing Boundaries for Lévy Processes with Exponentially Decayed Lévy Measures

DOI10.1137/S0040585X97T988071zbMath1386.60169OpenAlexW2594169783MaRDI QIDQ2967986

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Publication date: 9 March 2017

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

Full work available at URL: https://doi.org/10.1137/s0040585x97t988071

zbMATH Keywords

Lévy processesnonlinear boundarythe problem of finding the allocation of time first output

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

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• The first passage time problem over a moving boundary for asymptotically stable Lévy processes
• Small and large time stability of the time taken for a Lévy process to cross curved boundaries
• An Exact Asymptotics for the Moment of Crossing a Curved Boundary by an Asymptotically Stable Random Walk
• The Crossing Time of a One-Sided Nonlinear Boundary by Sums of Independent Random Variables
• One-Sided Boundary Crossing for Processes with Independent Increments
• Brownian first exit from and sojourn over one sided moving boundary and application
• Location of Wave Fronts for the Multi-Dimensional K-P-P Equation and Brownian First Exit Densities
• Martingales, Tauberian Theorem, and Strategies of Gambling
• First passage times of L\'evy processes over a one-sided moving boundary
• Asymptotics of first-passage time over a one-sided stochastic boundary

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