Level crossing times for certain processes without positive jumps (Q1365485): Difference between revisions
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Latest revision as of 04:05, 5 March 2024
scientific article
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| English | Level crossing times for certain processes without positive jumps |
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Level crossing times for certain processes without positive jumps (English)
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16 March 1998
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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.
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level crossing
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càdlàg process
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upcrossing and down crossing
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