Publication:325889

DOI10.1007/s10959-015-0596-xzbMath1354.60049arXiv1305.1203OpenAlexW1986473849MaRDI QIDQ325889

Tanja Kramm, Frank Aurzada

Publication date: 11 October 2016

Published in: Progress in Probability, Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1305.1203

zbMATH Keywords

Bessel processBrownian motionmoving boundaryLévy processfirst exit timefirst-passage timeboundary crossing probabilitypersistence probabilityone-sided exit problem

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Brownian motion (60J65) Self-similar stochastic processes (60G18) Stable stochastic processes (60G52) Limit theorems in probability theory (60F99)

Related Items

Cramér's estimate for stable processes with power drift ⋮ The first passage time problem over a moving boundary for asymptotically stable Lévy processes ⋮ The Kolmogorov Inequality for the Maximum of the Sum of Random Variables and Its Martingale Analogues ⋮ First Passage Problems over Increasing Boundaries for Lévy Processes with Exponentially Decayed Lévy Measures ⋮ First-Passage Times over Moving Boundaries for Asymptotically Stable Walks ⋮ First-passage time asymptotics over moving boundaries for random walk bridges ⋮ Non-crossing Brownian paths and Dyson Brownian motion under a moving boundary ⋮ Persistence Probabilities and Exponents ⋮ An Exact Asymptotics for the Moment of Crossing a Curved Boundary by an Asymptotically Stable Random Walk

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