On a small-time limit behavior of the probability that a Lévy process stays positive

DOI10.1007/S10559-016-9848-8zbMath1351.60057OpenAlexW2400135840MaRDI QIDQ334257

Viktoria P. Knopova

Publication date: 1 November 2016

Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10559-016-9848-8

zbMATH Keywords

Lévy processprobability measuresmall time limit

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Cites Work

• Small-maturity digital options in Lévy models: an analytic approach
• Fluctuation theory for Lévy processes. Ecole d'Eté de probabilités de Saint-Flour XXXV -- 2005.
• Spitzer's condition for random walks and Lévy processes
• Small-time behaviour of {L}évy processes
• Stability and attraction to normality for Lévy processes at zero and at infinity
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