On the First Passage time for Brownian Motion Subordinated by a Lévy Process

DOI10.1239/jap/1238592124zbMath1162.60336arXiv0805.4618OpenAlexW2150075914MaRDI QIDQ3621155

Alexey Kuznetsov, T. R. Hurd

Publication date: 14 April 2009

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

Full work available at URL: https://arxiv.org/abs/0805.4618

zbMATH Keywords

Brownian motionstopping timetime changefinancial modelsLévy subordinatorfirst passage

Mathematics Subject Classification ID

Related Items (8)

Fractional Brownian motion time-changed by gamma and inverse gamma process ⋮ Non-Gaussian diffusion of mixed origins ⋮ Lévy Processes, Phase-Type Distributions, and Martingales ⋮ Suprema of Lévy processes ⋮ On the joint distribution of the supremum functional and its last occurrence for subordinated linear Brownian motion ⋮ Tempered stable process, first passage time, and path-dependent option pricing ⋮ Singularity spectrum of generic \(\alpha \)-Hölder regular functions after time subordination ⋮ Spectral upper bound for the torsion function of symmetric stable processes

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