Exponential moments of first passage times and related quantities for Lévy processes

DOI10.1002/mana.201400289zbMath1330.60063arXiv1409.3154OpenAlexW1659890402MaRDI QIDQ3463404

Frank Aurzada, Matthias Meiners, Aleksander M. Iksanov

Publication date: 14 January 2016

Published in: Mathematische Nachrichten (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.3154

zbMATH Keywords

Lévy processesrenewal theoryfirst passage timesojourn timeexponential momentsinverse local timelast exit time

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Renewal theory (60K05)

Related Items (3)

Moment convergence of first-passage times in renewal theory ⋮ On moments of downward passage times for spectrally negative Lévy processes ⋮ A result on power moments of L\'evy-type perpetuities and its application to the $L_p$-convergence of Biggins' martingales in branching L\'evy processes

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• Exponential rate of almost-sure convergence of intrinsic martingales in supercritical branching random walks
• Association of Random Variables, with Applications
• Limit theorems for occupation times of Markov processes

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