Stability of the exit time for Lévy processes

DOI10.1239/aap/1316792667zbMath1232.60037arXiv1106.5389OpenAlexW2156025337MaRDI QIDQ3173002

Philip S. Griffin, Ross A. Maller

Publication date: 10 October 2011

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1106.5389

zbMATH Keywords

Lévy processovershootCramér conditioninsurance risk processpassage time above a level

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Renewal theory (60K05)

Related Items

Small and large time stability of the time taken for a Lévy process to cross curved boundaries ⋮ Distributional representations and dominance of a Lévy process over its maximal jump processes

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