Hitting densities for spectrally positive stable processes
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Abstract: A multiplicative identity in law connecting the hitting times of completely asymmetric stable L'evy processes in duality is established. In the spectrally positive case, this identity allows with an elementary argument to compute fractional moments and to get series representations for the density. We also prove that the hitting times are unimodal as soon as Analogous results are obtained, in a much simplified manner, for the first passage time across a positive level.
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Cites work
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- scientific article; zbMATH DE number 3789618 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
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Cited in
(25)- The law of the hitting times to points by a stable Lévy process with no negative jumps
- A hitting time for Lévy processes, with application to dams and branching processes
- Uniform control of local times of spectrally positive stable processes
- First hitting time of the integer lattice by symmetric stable processes
- Spectral theory for one-dimensional (non-symmetric) stable processes killed upon hitting the origin
- Law of the first passage triple of a spectrally positive strictly stable process
- Law of two-sided exit by a spectrally positive strictly stable process
- Hitting distributions of \(\alpha\)-stable processes via path censoring and self-similarity
- Small noise asymptotics and first passage times of integrated Ornstein-Uhlenbeck processes driven by \(\alpha\)-stable Lévy processes
- The hitting time of zero for a stable process
- Hitting times of points for symmetric Lévy processes with completely monotone jumps
- The first passage time of a stable process conditioned to not overshoot
- Space–Time Duality for Fractional Diffusion
- Hitting Probabilities for Spectrally Positive Lévy Processes
- On the laws of first hitting times of points for one-dimensional symmetric stable Lévy processes
- Unimodality of Hitting Times for Stable Processes
- The area of a spectrally positive stable process stopped at zero
- On the law of homogeneous stable functionals
- Finite-pool queueing with heavy-tailed services
- Hitting probabilities for Lévy processes on the real line
- First passage time moments of asymmetric Lévy flights
- Hitting times of points and intervals for symmetric Lévy processes
- On moments of downward passage times for spectrally negative Lévy processes
- On exit time of stable processes
- On the supremum of the spectrally negative stable process with drift
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