Asymptotics of densities of first passage times for spectrally negative L\'evy processes
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Publication:6429632
arXiv2303.08408MaRDI QIDQ6429632FDOQ6429632
Publication date: 15 March 2023
Abstract: We study a first passage time of a L'evy process over a positive constant level. In the spectrally negative case we give conditions for absolutely continuity of the distributions of the first passage times. The tail asymptotics of their densities are also clarified, where the asymptotics depend on tail behaviour of the corresponding L'evy measures. We apply our results to the mathematical finance, in particular, the credit default swap pricing.
Processes with independent increments; Lévy processes (60G51) Extreme value theory; extremal stochastic processes (60G70) Approximations to statistical distributions (nonasymptotic) (62E17)
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