Moments of last exit times for Lévy processes

MaRDI QIDQ1434445zbMATH OpenFDO

Authors Ken-Iti Sato, Toshiro Watanabe

Publication date 4 August 2004

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL http://www.numdam.org/item?id=AIHPB_2004__40_2_207_0, https://eudml.org/doc/77807

zbMATH Keywords

Characteristic functionLast exit timeLévy processMoment

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52)

Review text

The paper analyzes some properties of the last exit time \(T\) from a ball with radius \(a\) for a transient Lévy process in \(R^d\). It is shown that the mathematical expectation of \(T^b\), \(b\) positive, is either finite for all \(a\), or infinite for all \(a\). Then the set \(F\) of \(b\) associated with the first case (i.e. finite for all \(a\)) is fully characterized by using the logarithm of the characteristic function of the Lévy variable \(X(t)\). Further results on \(F\) are described in terms of the one-sided moment of \(X(t)\).

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