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Let \((X_t)_{t\geq0}\) be a strictly \(\alpha\)-stable Lévy process for \(\alpha\in(0,2)\) with positivity parameter \(\rho=P\{X_1>0\}>0\) and let \(T_x=\inf\{s>0: X_s\geq x\}\) denote its first-passage time above the level \(x>0\). The author first gives an alternative and constructive proof of the known fact that the distribution of \(T_x\) is absolutely continuous with respect to the Lebesgue measure. An important role is played by the distributional limit of \(T_x\) conditioned that the overshoot does not extend \(\varepsilon\) as \(\varepsilon\downarrow0\) (obtained by the author in [Theory Probab. Appl. 55, No. 4, 683--729 (2011; Zbl 1238.60052)] and denoted by \(T_x^0\)). As a consequence, the density function of \(T_x\) is given in terms of the distribution of \(T_x^0\). Further, a relation between \(T_x^0\) and the dual process conditioned to die at 0 is presented. This allows to relate the density of \(T_x\) to other classical results in fluctuation theory of stable Lévy processes. In particular, relations to representations of the density of \(\sup\{X_t:t\in[0,1]\}\), obtained by \textit{R. A. Doney} and \textit{M. S. Savov} [Ann. Probab. 38, No. 1, 316--326 (2010; Zbl 1185.60052)] and \textit{L. Chaumont} [Ann. Probab. 41, No. 3A, 1191--1217 (2013; Zbl 1277.60081)], are given, which allow the author to represent the densities of \(T_x\) and \(T_x^0\) in terms of the densities of entrance laws of the reflected excursions at the minimum or the densities of terminal values of the dual stable meander. | |||
Property / review text: Let \((X_t)_{t\geq0}\) be a strictly \(\alpha\)-stable Lévy process for \(\alpha\in(0,2)\) with positivity parameter \(\rho=P\{X_1>0\}>0\) and let \(T_x=\inf\{s>0: X_s\geq x\}\) denote its first-passage time above the level \(x>0\). The author first gives an alternative and constructive proof of the known fact that the distribution of \(T_x\) is absolutely continuous with respect to the Lebesgue measure. An important role is played by the distributional limit of \(T_x\) conditioned that the overshoot does not extend \(\varepsilon\) as \(\varepsilon\downarrow0\) (obtained by the author in [Theory Probab. Appl. 55, No. 4, 683--729 (2011; Zbl 1238.60052)] and denoted by \(T_x^0\)). As a consequence, the density function of \(T_x\) is given in terms of the distribution of \(T_x^0\). Further, a relation between \(T_x^0\) and the dual process conditioned to die at 0 is presented. This allows to relate the density of \(T_x\) to other classical results in fluctuation theory of stable Lévy processes. In particular, relations to representations of the density of \(\sup\{X_t:t\in[0,1]\}\), obtained by \textit{R. A. Doney} and \textit{M. S. Savov} [Ann. Probab. 38, No. 1, 316--326 (2010; Zbl 1185.60052)] and \textit{L. Chaumont} [Ann. Probab. 41, No. 3A, 1191--1217 (2013; Zbl 1277.60081)], are given, which allow the author to represent the densities of \(T_x\) and \(T_x^0\) in terms of the densities of entrance laws of the reflected excursions at the minimum or the densities of terminal values of the dual stable meander. / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60G52 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60G51 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60G40 / rank | |||
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Property / zbMATH DE Number: 6637267 / rank | |||
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Property / zbMATH Keywords | |||
stable Lévy process | |||
Property / zbMATH Keywords: stable Lévy process / rank | |||
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Property / zbMATH Keywords | |||
first-passage time | |||
Property / zbMATH Keywords: first-passage time / rank | |||
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overshoot | |||
Property / zbMATH Keywords: overshoot / rank | |||
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absolute continuity | |||
Property / zbMATH Keywords: absolute continuity / rank | |||
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density formula | |||
Property / zbMATH Keywords: density formula / rank | |||
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Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / OpenAlex ID | |||
Property / OpenAlex ID: W3098131209 / rank | |||
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Property / arXiv ID | |||
Property / arXiv ID: 1211.3465 / rank | |||
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links / mardi / name | links / mardi / name | ||
Latest revision as of 17:41, 12 July 2024
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English | The first passage time of a stable process conditioned to not overshoot |
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The first passage time of a stable process conditioned to not overshoot (English)
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11 October 2016
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Let \((X_t)_{t\geq0}\) be a strictly \(\alpha\)-stable Lévy process for \(\alpha\in(0,2)\) with positivity parameter \(\rho=P\{X_1>0\}>0\) and let \(T_x=\inf\{s>0: X_s\geq x\}\) denote its first-passage time above the level \(x>0\). The author first gives an alternative and constructive proof of the known fact that the distribution of \(T_x\) is absolutely continuous with respect to the Lebesgue measure. An important role is played by the distributional limit of \(T_x\) conditioned that the overshoot does not extend \(\varepsilon\) as \(\varepsilon\downarrow0\) (obtained by the author in [Theory Probab. Appl. 55, No. 4, 683--729 (2011; Zbl 1238.60052)] and denoted by \(T_x^0\)). As a consequence, the density function of \(T_x\) is given in terms of the distribution of \(T_x^0\). Further, a relation between \(T_x^0\) and the dual process conditioned to die at 0 is presented. This allows to relate the density of \(T_x\) to other classical results in fluctuation theory of stable Lévy processes. In particular, relations to representations of the density of \(\sup\{X_t:t\in[0,1]\}\), obtained by \textit{R. A. Doney} and \textit{M. S. Savov} [Ann. Probab. 38, No. 1, 316--326 (2010; Zbl 1185.60052)] and \textit{L. Chaumont} [Ann. Probab. 41, No. 3A, 1191--1217 (2013; Zbl 1277.60081)], are given, which allow the author to represent the densities of \(T_x\) and \(T_x^0\) in terms of the densities of entrance laws of the reflected excursions at the minimum or the densities of terminal values of the dual stable meander.
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stable Lévy process
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first-passage time
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overshoot
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absolute continuity
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density formula
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