First passage times of L\'evy processes over a one-sided moving boundary
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Publication:5500146
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
Lévy processesfirst passage timesmoving boundarysurvival exponentlower tail probabilitiesone-sided small deviations
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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