Mid-concavity of survival probability for isotropic Lévy processes

Abstract: Let

X

be a symmetric, pure jump, unimodal Levy process in

m a t h b b R

with an infinite Levy measure. We prove that for any fixed

t > 0

the survival probability

P^{x} (a u_{(- a, a)} > t)

is nondecreasing on

(- a, 0]

, nonincreasing on

[0, a)

and concave on

(- a / 2, a / 2)

, where

a > 0

and

a u_{(- a, a)}

is the first exit time of the process

X

from

(- a, a)

. We also show a similar statement for sets

(- a, a) i m e s F s u b s e t m a t h b b R^{d}

.

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