First passage time law for some Lévy processes with compound Poisson: existence of a density

DOI10.3150/10-BEJ323zbMATH Open1230.60049arXiv0904.1669MaRDI QIDQ654399FDOQ654399

Authors: L. Coutin, Diana Dorobantu 

Publication date: 28 December 2011

Published in: Bernoulli (Search for Journal in Brave)

Abstract: Let (Xt, t >= 0) be a diffusion process with jumps, sum of a Brownian motion with drift and a compound Poisson process. We consider T_x the first hitting time of a fixed level x > 0 by (Xt, t >= 0). We prove that the law of T_x has a density (defective when E(X1) < 0) with respect to the Lebesgue measure.

Full work available at URL: https://arxiv.org/abs/0904.1669

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zbMATH Keywords

jump processfirst passage time lawLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

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Cited In (8)

• Existence and regularity of law density of a pair (diffusion, first component running maximum)
• Non-uniqueness of the first passage time density of Lévy random processes
• On the first passage time density for a class of compound Poisson process
• Joint distribution of a Lévy process and its running supremum
• Joint distribution of first-passage time and first-passage area of certain Lévy processes
• Statistical arbitrage in jump-diffusion models with compound Poisson processes
• PDE for the joint law of the pair of a continuous diffusion and its running maximum
• On a First-Passage-Time Problem for the Compound Power-Law Process

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