Hitting densities for spectrally positive stable processes

DOI10.1080/17442508.2010.549232zbMath1231.60042arXiv1002.1540OpenAlexW2163095547MaRDI QIDQ3017916

Thomas Simon

Publication date: 20 July 2011

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1002.1540

zbMATH Keywords

exit timeseries representationunimodalitystable Lévy processeshitting time, Mellin transform

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Stable stochastic processes (60G52)

Related Items

Uniform control of local times of spectrally positive stable processes ⋮ First passage time moments of asymmetric Lévy flights ⋮ Hitting probabilities for L\'{e}vy processes on the real line ⋮ Unimodality of Hitting Times for Stable Processes ⋮ Law of the first passage triple of a spectrally positive strictly stable process ⋮ Law of two-sided exit by a spectrally positive strictly stable process ⋮ On the supremum of the spectrally negative stable process with drift ⋮ On moments of downward passage times for spectrally negative Lévy processes ⋮ Small noise asymptotics and first passage times of integrated Ornstein-Uhlenbeck processes driven by \(\alpha\)-stable Lévy processes ⋮ On exit time of stable processes ⋮ On the law of homogeneous stable functionals ⋮ Hitting times of points and intervals for symmetric Lévy processes ⋮ The area of a spectrally positive stable process stopped at zero ⋮ Finite-pool queueing with heavy-tailed services ⋮ Spectral theory for one-dimensional (non-symmetric) stable processes killed upon hitting the origin

Cites Work

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