First passage times of L\'evy processes over a one-sided moving boundary

zbMath1321.60091arXiv1201.1118MaRDI QIDQ5500146

Frank Aurzada, Tanja Kramm, Mladen Svetoslavov Savov

Publication date: 5 August 2015

Full work available at URL: https://arxiv.org/abs/1201.1118

zbMATH Keywords

Lévy processesfirst passage timesmoving boundarysurvival exponentlower tail probabilitiesone-sided small deviations

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Limit theorems in probability theory (60F99)

Related Items (4)

The first passage time problem over a moving boundary for asymptotically stable Lévy processes ⋮ First Passage Problems over Increasing Boundaries for Lévy Processes with Exponentially Decayed Lévy Measures ⋮ Persistence Probabilities and Exponents ⋮ Transience and Recurrence of Markov Processes with Constrained Local Time

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