The time at which a Lévy process creeps

DOI10.1214/EJP.v16-945zbMath1244.60051arXiv1106.5921MaRDI QIDQ428574

Philip S. Griffin, Ross A. Maller

Publication date: 22 June 2012

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1106.5921

zbMATH Keywords

Lévy processbivariate subordinatorcreeping by time \(t\)quintuple lawsecond factorization identity

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Sums of independent random variables; random walks (60G50) Renewal theory (60K05)

Related Items (9)

Stability of the exit time for Lévy processes ⋮ Convolution equivalent Lévy processes and first passage times ⋮ Asymptotic behaviour of first passage time distributions for Lévy processes ⋮ Creeping of Lévy processes through curves ⋮ Path decomposition of ruinous behavior for a general Lévy insurance risk process ⋮ Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases ⋮ Finite time ruin probabilities for tempered stable insurance risk processes ⋮ On exact sampling of the first passage event of a Lévy process with infinite Lévy measure and bounded variation ⋮ Sample path behavior of a Lévy insurance risk process approaching ruin, under the Cramér-Lundberg and convolution equivalent conditions

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