Asymptotic behavior of the hitting time, overshoot and undershoot for some Lévy processes

DOI10.1051/ps:2007034zbMath1183.60018OpenAlexW2112293397MaRDI QIDQ5429622

Bernard Roynette, Agnès Volpi, Pierre Vallois

Publication date: 30 November 2007

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/245499

zbMATH Keywords

Lévy processesfunctional equationasymptotic estimateshitting timeovershootundershootruin problem

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Characteristic functions; other transforms (60E10) Stopping times; optimal stopping problems; gambling theory (60G40) Sample path properties (60G17)

Related Items

Improved Asymptotics for Ruin Probabilities ⋮ PDE for the joint law of the pair of a continuous diffusion and its running maximum ⋮ First passage time law for some Lévy processes with compound Poisson: existence of a density ⋮ Existence and regularity of law density of a pair (diffusion, first component running maximum)

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