First passage times over stochastic boundaries for subdiffusive processes

DOI10.1090/TRAN/8534MaRDI QIDQ5036094zbMATH OpenOpenAlexFDO

Authors

Publication date 23 February 2022

Published in Transactions of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1904.03168

zbMATH Keywords

first passage time problemsinverse subordinatorlong-range dependenceLévy processesruin probabilitysemi-regenerative processesstable processessubdiffusive diffusionstime-changedWiener-Hopf factorization

Mathematics Subject Classification ID

Self-similar stochastic processes (60G18) Stopping times; optimal stopping problems; gambling theory (60G40) Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52) Anomalous diffusion models (subdiffusion, superdiffusion, continuous-time random walks, etc.) (60K50)

Abstract: Let $mathbbX=(mathbb{X}_t{)}_{tgeq0}$ be the subdiffusive process defined, for any $tgeq0$, by $mathbb{X}_t=X_{el{l}_t}$ where $X=(X_t{)}_{tgeq0}$ is a L'evy process and $el{l}_t=infs>0;:mathcal{K}_s>t$ with $mathcalK=(mathcal{K}_t{)}_{tgeq0}$ a subordinator independent of $X$. We start by developing a composite Wiener-Hopf factorization to characterize the law of the pair $(mathbb{T}_a^{(mathcalb)},(mathbbX-mathcalb{)}_{mathbb{T}_a^{(mathcalb)}})$ where �egin{equation*} mathbb{T}_a^{(mathcal{b})} = inf {t>0;: mathbb{X}_t > a+ mathcal{b}_t } end{equation*} with $ainmathbbR$ and $mathcalb=(mathcal{b}_t{)}_{tgeq0}$ a (possibly degenerate) subordinator independent of $X$ and $mathcalK$. We proceed by providing a detailed analysis of the cases where either $mathcalK$ is a stable subordinator or $X$ is spectrally negative. Our proofs hinge on a variety of techniques including excursion theory, change of measure, asymptotic analysis and on establishing a link between subdiffusive processes and a subclass of semi-regenerative processes. In particular, we show that the variable $mathbb{T}_a^{(mathcalb)}$ has the same law as the first passage time of a semi-regenerative process of L'evy type, a terminology that we introduce to mean that this process satisfies the Markov property of L'evy processes for stopping times whose graph is included in the associated regeneration set.

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Cited in

(5)

• First passage times for subordinate Brownian motions
• Extinction time of non-Markovian self-similar processes, persistence, annihilation of jumps and the Fréchet distribution
• Subdiffusive concentration in first passage percolation
• First-passage time of a stochastic integral process through a linear boundary
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