Stability of the exit time for Lévy processes

DOI10.1239/AAP/1316792667zbMATH Open1232.60037arXiv1106.5389OpenAlexW2156025337MaRDI QIDQ3173002FDOQ3173002

Ross A. Maller, Philip S. Griffin

Publication date: 10 October 2011

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

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.

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)

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Cited In (4)

• Stability of the overshoot for Lévy processes
• On exit time of stable processes
• 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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