On exit time of stable processes

DOI10.1016/J.SPA.2011.10.004MaRDI QIDQ655315zbMATH OpenOpenAlexFDO

Authors Piotr Graczyk, Tomasz Jakubowski

Publication date 4 January 2012

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1103.4251

zbMATH Keywords

exit timestable process

Mathematics Subject Classification ID

Stable stochastic processes (60G52)

Abstract: We study the exit time $au=a{u}_{(0,infty)}$ for 1-dimensional strictly stable processes and express its Laplace transform at $t^{a}lpha$ as the Laplace transform of a positive random variable with explicit density. Consequently, $au$ satisfies some multiplicative convolution relations. For some stable processes, e.g. for the symmetric $frac23$-stable process, explicit formulas for the Laplace transform and the density of $au$ are obtained as an application.

Recommendations

• scientific article; zbMATH DE number 2096890
• Stability of the exit time for Lévy processes
• Exit times of symmetric stable processes from unbounded convex domains
• Last exit times for transient semistable processes
• Approximating exit times of continuous Markov processes
• scientific article; zbMATH DE number 2052896
• Exit times from cones in \(R^n\) of symmetric stable processes
• On the Density of the First Exit Time of a Stable Process Across a Nonlinear Boundary
• scientific article; zbMATH DE number 3942656
• scientific article; zbMATH DE number 3907480

Cites work

• scientific article; zbMATH DE number 3703081 (Why is no real title available?)
• scientific article; zbMATH DE number 3273551 (Why is no real title available?)
• Bernstein functions. Theory and applications
• Harmonic Function Theory
• Hitting densities for spectrally positive stable processes
• Intertwining certain fractional derivatives
• Introductory lectures on fluctuations of Lévy processes with applications.
• Inversion of the space and time of stable Lévy processes
• Maxima of sums of random variables and suprema of stable processes
• Mittag-Leffler functions and stable Lévy processes without negative jumps
• On Wiener-Hopf factorisation and the distribution of extrema for certain stable processes
• On Wiener-Hopf factors for stable processes
• On extrema of stable processes
• On the Maxima of Random Walks and Stable Processes and the Arc-Sine Law
• Spectral properties of the Cauchy process on half-line and interval
• Table of integrals, series, and products. Translated from the Russian. Translation edited and with a preface by Alan Jeffrey and Daniel Zwillinger. With one CD-ROM (Windows, Macintosh and UNIX)
• The Maximum of Sums of Stable Random Variables

Cited in

(20)

• First hitting time of the integer lattice by symmetric stable processes
• Unified approach for solving exit problems for additive-increase and multiplicative-decrease processes
• On the exit time from open sets of some semi-Markov processes
• Suprema of Lévy processes
• Exit times for some autoregressive processes with non-Gaussian noise distributions
• scientific article; zbMATH DE number 3907480 (Why is no real title available?)
• Exit times from cones in \(R^n\) of symmetric stable processes
• On Wiener-Hopf factors for stable processes
• Exit times of symmetric stable processes from unbounded convex domains
• Last exit times for transient semistable processes
• On the one-sided exit problem for stable processes in random scenery
• scientific article; zbMATH DE number 5220368 (Why is no real title available?)
• The first exit time of a two-dimensional symmetric stable process from a wedge
• On the law of homogeneous stable functionals
• Fluctuation theory for Lévy processes with completely monotone jumps
• Two-sided exit problem for a spectrally negative \(\alpha \)-stable Ornstein-Uhlenbeck process and the Wright's generalized hypergeometric functions
• On the First Exit Time of a Completely Asymmetric Stable Process from a Finite Interval
• Exit time of a hyperbolic \(\alpha\)-stable process from a halfspace or a ball
• Symmetric stable processes in parabola–shaped regions
• Law of two-sided exit by a spectrally positive strictly stable process

This page was built for publication: On exit time of stable processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q655315)