The first passage time of a stable process conditioned to not overshoot

Abstract: Consider a stable L'evy process

X = (X_{t}, t g e q 0)

and let

T_{x}

, for

x > 0

, denote the first passage time of

X

above the level

x

. In this work, we give an alternative proof of the absolute continuity of the law of

T_{x}

and we obtain a new expression for its density function. Our approach is elementary and provides a new insight into the study of the law of

T_{x}

. The random variable

T_{x}^{0}

, defined as the limit of

T_{x}

when the corresponding overshoot tends to

0

, plays an important role in obtaining these results. Moreover, we establish a relation between the random variable

T_{x}^{0}

and the dual process conditioned to die at

0

. This relation allows us to link the expression of the density function of the law of

T_{x}

presented in this paper to the already known results on this topic.

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