Stability of the exit time for Lévy processes

DOI10.1239/AAP/1316792667MaRDI QIDQ3173002zbMATH OpenOpenAlexFDO

Authors 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

overshootinsurance risk processCramér conditionLévy processpassage time above a level

Mathematics Subject Classification ID

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

Abstract: This paper is concerned with the behaviour of a L'{e}vy process when it crosses over a positive level, $u$, starting from 0, both as $u$ becomes large and as $u$ becomes small. Our main focus is on the time, $a{u}_u$, it takes the process to transit above the level, and in particular, on the {it stability} of this passage time; thus, essentially, whether or not $a{u}_u$ behaves linearly as $udto0$ or $uoinfty$. We also consider conditional stability of $a{u}_u$ when the process drifts to $-infty$, a.s. This provides information relevant to quantities associated with the ruin of an insurance risk process, which we analyse under a Cram'er condition.

Recommendations

• Small and large time stability of the time taken for a Lévy process to cross curved boundaries
• Asymptotics for the first passage times of Lévy processes and random walks
• Sample paths of a Lévy process leading to first passage over high levels in finite time
• Convolution equivalent Lévy processes and first passage times
• Passage time and fluctuation calculations for subexponential Lévy processes

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Cited in

(6)

• Stability of the overshoot for Lévy processes
• Convolution equivalent Lévy processes and first passage times
• On exit time of stable processes
• Compactness and continuity properties for a Lévy process at a two-sided exit time
• 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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