Asymptotic behaviour of first passage time distributions for Lévy processes

DOI10.1007/s00440-012-0448-xzbMath1286.60042arXiv1107.4415OpenAlexW2275233347MaRDI QIDQ377508

Víctor Manuel Rivero, Ronald Arthur Doney

Publication date: 6 November 2013

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1107.4415

zbMATH Keywords

Lévy processesfluctuation theorylocal limit theoremsladder height processfirst passage time distributionsharp local estimates

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52) Limit theorems in probability theory (60F99)

Related Items

Passage time and fluctuation calculations for subexponential Lévy processes, Fluctuation theory for Lévy processes with completely monotone jumps, The first passage time problem over a moving boundary for asymptotically stable Lévy processes, On the law of the supremum of Lévy processes, Local behaviour of first passage probabilities, Zooming-in on a Lévy process: failure to observe threshold exceedance over a dense grid, A lifetime of excursions through random walks and Lévy processes, On a two-parameter Yule-Simon distribution

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