Exponential moments of first passage times and related quantities for Lévy processes

DOI10.1002/MANA.201400289zbMATH Open1330.60063arXiv1409.3154OpenAlexW1659890402MaRDI QIDQ3463404FDOQ3463404

Authors: Frank Aurzada, Matthias Meiners, Alexander Iksanov 

Publication date: 14 January 2016

Published in: Mathematische Nachrichten (Search for Journal in Brave)

Abstract: For a L'evy process on the real line, we provide complete criteria for the finiteness of exponential moments of the first passage time into the interval $(r,infty)$, the sojourn time in the interval $(-infty,r]$, and the last exit time from $(-infty,r]$. Moreover, whenever these quantities are finite, we derive their respective asymptotic behavior as $roinfty$.

Full work available at URL: https://arxiv.org/abs/1409.3154

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zbMATH Keywords

renewal theoryfirst passage timeexponential momentssojourn timeinverse local timelast exit timeLévy processes

Mathematics Subject Classification ID

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

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Cited In (19)

• Moments of last exit times for Lévy processes
• Non-uniqueness of the first passage time density of Lévy random processes
• First passage time of a Lévy degradation model with random effects
• Bridging the first and last passage times for Lévy models
• Limit theorems for renewal shot noise processes with eventually decreasing response functions
• Passage time and fluctuation calculations for subexponential Lévy processes
• The moment of the first overstepping time on spectrally positive Lévy processes
• Cramér asymptotics for finite time first passage probabilities of general Lévy processes
• On moments of downward passage times for spectrally negative Lévy processes
• First exit from an open set for a matrix-exponential Lévy process
• A result on power moments of L\'evy-type perpetuities and its application to the $L_p$-convergence of Biggins' martingales in branching L\'evy processes
• Exponential ergodicity of killed Lévy processes in a finite interval
• Exponential moments of first passage times and related quantities for random walks
• Extensions of regularity for a Lévy process
• First passage times on zero and one and natural exponential families
• On the moments of some first-passage times
• Exponential moments of affine processes
• Moments of passage times for Lévy processes
• Numerical computation of first-passage times of increasing Lévy processes

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