Level crossing times for certain processes without positive jumps
For general càdlàg processes, without positive jumps on \([0,\infty)\), the authors prove \[ tP(T_x\in dt)dx= xP(X_t\in dx)dt, \] where \(X\) is the process, \(T_x\) is the first time the process crosses the level \(x\). Applications are given.
scientific article; zbMATH DE number 1057337