Path decomposition of a reflected Lévy process on first passage over high levels

DOI10.1016/J.SPA.2021.11.013MaRDI QIDQ2074980zbMATH OpenOpenAlexFDO

Authors Philip S. Griffin

Publication date 11 February 2022

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

Full work available at URL https://doi.org/10.1016/j.spa.2021.11.013

zbMATH Keywords

convolution equivalencefirst passage timeLévy processovershootreflected process

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Processes with independent increments; Lévy processes (60G51)

Recommendations

• Sample paths of a Lévy process leading to first passage over high levels in finite time
• Path decompositions for real Lévy processes
• Curve crossing for the reflected Lévy process at zero and infinity
• A note on first passage probabilities of a Lévy process reflected at a general barrier
• Convolution equivalent Lévy processes and first passage times

Cites work

• Buffer-overflows: joint limit laws of undershoots and overshoots of reflected processes
• Convolution equivalence and distributions of random sums
• Convolution equivalence and infinite divisibility
• Convolution Equivalence and Infinite Divisibility: Corrections and Corollaries
• Cramér's estimate for Lévy processes
• Cramér's estimate for the reflected process revisited
• Fluctuation theory for Lévy processes. Ecole d'Eté de probabilités de Saint-Flour XXXV -- 2005.
• General tax structures for a Lévy insurance risk process under the Cramér condition
• scientific article; zbMATH DE number 918811 (Why is no real title available?)
• On convolution tails
• On the law of the supremum of Lévy processes
• Path decomposition of ruinous behavior for a general Lévy insurance risk process
• Ruin probabilities and overshoots for general Lévy insurance risk processes
• Sample path behavior of a Lévy insurance risk process approaching ruin, under the Cramér-Lundberg and convolution equivalent conditions

Cited in

(3)

• Path decompositions for real Lévy processes
• Joint asymptotic distribution of certain path functionals of the reflected process
• First passage of reflected strictly stable processes

This page was built for publication: Path decomposition of a reflected Lévy process on first passage over high levels

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2074980)