Asymptotic behaviour of first passage time distributions for Lévy processes (Q377508)

The authors consider a one-dimensional Lévy process \(X\) which is in the domain of attraction of a stable law without centering with norming function c. They study the local behaviour of the distribution of the lifetime \(\zeta\) under the characteristic measure \(n\) of excursions away from 0. Here, the process \(X\) is reflected in its past infimum. For the process \(X\), the authors derive results on the first passage time of \(X\) below 0 under \(\mathbb{P}_x(\cdot)\), for \(x > 0\), in two different regimes for \(x\) which are \(x = o(c(\cdot))\) and \(x > Dc(\cdot)\), for some \(D > 0\). They start by investigating the existence of a density for this distribution but then focus on local-limit type results. The authors sharpen their estimates by distinguishing between two types of path behaviour which can be described as follows: either continuous passage at \(T_0\) or discontinuous passage. Along the way, the authors establish some sharp local estimates for the entrance law of the excursion process associated to \(X\) reflected in its past infimum. The results of the present paper are continuous time analogues of earlier results on random walks due to \textit{V. A. Vatutin} and \textit{V. Wachtel} [Probab. Theory Relat. Fields 143, No. 1--2, 177--217 (2009; Zbl 1158.60014)], respectively \textit{R. A. Doney} [Probab. Theory Relat. Fields 152, No. 3--4, 559--588 (2012; Zbl 1237.60036)].