Small and large time stability of the time taken for a Lévy process to cross curved boundaries

DOI10.1214/11-AIHP449zbMath1267.60053arXiv1110.3064MaRDI QIDQ1943326

Philip S. Griffin, Ross A. Maller

Publication date: 19 March 2013

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

Full work available at URL: https://arxiv.org/abs/1110.3064

zbMATH Keywords

relative stabilityLevy processovershoot random walkpassage times across power law boundary

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Strong limit theorems (60F15) Renewal theory (60K05) (L^p)-limit theorems (60F25)

Related Items (3)

The first passage time problem over a moving boundary for asymptotically stable Lévy processes ⋮ First Passage Problems over Increasing Boundaries for Lévy Processes with Exponentially Decayed Lévy Measures ⋮ Distributional representations and dominance of a Lévy process over its maximal jump processes

Cites Work

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• Foundations of Modern Probability
• Overshoots over curved boundaries
• Overshoots over curved boundaries. II
• Some One-Sided Stopping Rules

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