On the First Exit Time of a Completely Asymmetric Stable Process from a Finite Interval

DOI10.1112/BLMS/28.5.514MaRDI QIDQ4893653zbMATH OpenOpenAlexFDO

Authors Jean Bertoin

Publication date 10 June 1997

Published in Bulletin of the London Mathematical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1112/blms/28.5.514

zbMATH Keywords

characteristic functionfirst exit timestable processcompletely asymmetric stable process

Mathematics Subject Classification ID

Markov processes (60J99) Sample path properties (60G17)

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Cited in

(32)

• Escape from bounded domains driven by multivariate \(\alpha \)-stable noises
• Exponential ergodicity for population dynamics driven by \(\alpha\)-stable processes
• Small ball estimates in \(p\)-variation for stable processes
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• Lamperti-type laws
• Occupation densities in solving exit problems for Markov additive processes and their reflections
• Small time Chung-type LIL for Lévy processes
• On the optimal dividend problem for a spectrally negative Lévy process
• Fluctuation theory for one-sided Lévy processes with a matrix-exponential time horizon
• Some fluctuation identities for Lévy processes with jumps of the same sign
• The two-barrier escape problem for compound renewal processes with two-sided jumps
• Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
• An optimal dividends problem with transaction costs for spectrally negative Lévy processes
• Unified approach for solving exit problems for additive-increase and multiplicative-decrease processes
• Mittag-Leffler functions and stable Lévy processes without negative jumps
• On q-scale functions of spectrally negative Lévy processes
• Asymptotic representations for characteristics of exit from an interval for stochastic processes with independent increments
• On the Harmonic Measure of Stable Processes
• Diffusions on a space of interval partitions: Poisson-Dirichlet stationary distributions
• Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications
• Multifractal spectra and precise rates of decay in homogeneous fragmentations
• Evaluating Scale Functions of Spectrally Negative Lévy Processes
• Lévy processes with two-sided reflection
• A transformation for spectrally negative Lévy processes and applications
• Chung's law for homogeneous Brownian functionals
• Small ball probabilities for stable convolutions
• Finite difference methods for the generator of 1D asymmetric alpha-stable Lévy motions
• Law of two-sided exit by a spectrally positive strictly stable process
• On the solution of two-sided fractional ordinary differential equations of Caputo type
• Uniform control of local times of spectrally positive stable processes
• First passage time moments of asymmetric Lévy flights
• Numerical algorithms for mean exit time and escape probability of stochastic systems with asymmetric Lévy motion

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