Cramér asymptotics for finite time first passage probabilities of general Lévy processes (Q840787)

Let \(X\) be a Lévy processes with finite exponential moments, and \(\psi(\gamma)=\log E e^{\gamma X(1)}\). Under certain assumptions on \(\psi\) and for \(x\) and \(t\) tending to infinity in a fixed proportion \(v\), the authors prove that \(P(\sup_{u\leq t} X(u)>x)\sim C_\gamma e^{-\gamma x}\) if \(0<v<\psi'(\gamma)\) and \(P(\sup_{u\leq t} X(u)>x)\sim D_v t^{-1/2} e^{-\psi^*(v)t}\) if \(v>\psi'(\gamma)\), with \(C_0=1\) and \(D_v\) being given explicitly.