Passage times of random walks and Lévy processes across power law boundaries

DOI10.1007/s00440-004-0414-3zbMath1082.60037MaRDI QIDQ2570834

Ross A. Maller, Ronald Arthur Doney

Publication date: 28 October 2005

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: http://eprints.maths.manchester.ac.uk/901/1/Passage_Times.pdf

zbMATH Keywords

first passage time

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60G10: Stationary stochastic processes

60G50: Sums of independent random variables; random walks

60F15: Strong limit theorems

60J65: Brownian motion

60G40: Stopping times; optimal stopping problems; gambling theory

60G17: Sample path properties

60K05: Renewal theory

Related Items

Pruitt's estimates in Banach space, Renewal theorems and stability for the reflected process, Curve crossing for random walks reflected at their maximum, Passage of Lévy processes across power law boundaries at small times, Small-time compactness and convergence behavior of deterministically and self-normalised Lévy processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Dominated variation and related concepts and Tauberian theorems for Laplace transforms
• The lower limit of a normalized random walk
• Moments of passage times for Lévy processes
• Stability and attraction to normality for Lévy processes at zero and at infinity
• Stochastic bounds for Lévy processes.
• The Strong Law of Large Numbers When the Mean is Undefined