Non-random overshoots of L\'evy processes

zbMATH Open1321.60100arXiv1301.4463MaRDI QIDQ5500147FDOQ5500147

Authors: Matija Vidmar 

Publication date: 5 August 2015

Abstract: The class of Levy processes for which overshoots are almost surely constant quantities is precisely characterized.

Full work available at URL: https://arxiv.org/abs/1301.4463

zbMATH Keywords

fluctuation theoryovershootsfirst entrance/passage timesLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Cited In (4)

• Zooming-in on a Lévy process: failure to observe threshold exceedance over a dense grid
• Overshoots and undershoots of Lévy processes
• First passage problems for upwards skip-free random walks via the scale functions paradigm
• Nonergodicity of a time series obeying Lévy statistics

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