Exponential moments of first passage times and related quantities for Lévy processes
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Publication:3463404
DOI10.1002/mana.201400289zbMath1330.60063arXiv1409.3154OpenAlexW1659890402MaRDI QIDQ3463404
Frank Aurzada, Matthias Meiners, Aleksander M. Iksanov
Publication date: 14 January 2016
Published in: Mathematische Nachrichten (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1409.3154
Lévy processesrenewal theoryfirst passage timesojourn timeexponential momentsinverse local timelast exit time
Related Items (3)
Moment convergence of first-passage times in renewal theory ⋮ On moments of downward passage times for spectrally negative Lévy processes ⋮ 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
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