The first passage time problem over a moving boundary for asymptotically stable Lévy processes

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

Frank Aurzada, Tanja Kramm

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 process; Brownian motion; moving boundary; Lévy process; first exit time; first-passage time; boundary crossing probability; persistence probability; one-sided exit problem

Mathematics Subject Classification ID

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