First passage times for subordinate Brownian motions (Q1947608)

Let \(X_t = B_{Z_t}\) be a subordinate Brownian motion (i.e., \(B\) is the one-dimensional Brownian motion with \(\operatorname{var} B_s = 2 s\), \(Z\) is a subordinator (non-negative Lévy process), and \(B\) and \(Z\) are independent processes), and suppose that the Lévy measure of the underlying subordinator \(Z\) has a completely monotone density. In this interesting paper, the authors find, under very mild conditions, integral formulae for the tail distribution \(\operatorname{P}(\tau_x > t)\) of the first passage time through a barrier at the level \(x>0\) for a the process \(X\) (i.e., \(\tau_x= \inf \{t \geq 0 : X_t \geq x\}\)), and its derivatives in \(t\). As a corollary, they examine the asymptotic behaviour of \(\operatorname{P}(\tau_x > t)\) and its \(t\)-derivatives either as \(t \to \infty\) or \(x \to 0^+\).