The first passage time problem over a moving boundary for asymptotically stable Lévy processes
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Publication:325889
DOI10.1007/s10959-015-0596-xzbMath1354.60049arXiv1305.1203MaRDI QIDQ325889
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
Bessel process; Brownian motion; moving boundary; Lévy process; first exit time; first-passage time; boundary crossing probability; persistence probability; one-sided exit problem
60G51: Processes with independent increments; Lévy processes
60J65: Brownian motion
60G18: Self-similar stochastic processes
60G52: Stable stochastic processes
60F99: Limit theorems in probability theory