Cramér asymptotics for finite time first passage probabilities of general Lévy processes
From MaRDI portal
(Redirected from Publication:840787)
Abstract: We derive the exact asymptotics of if and tend to infinity with constant, for a L'{e}vy process that admits exponential moments. The proof is based on a renewal argument and a two-dimensional renewal theorem of H"{o}glund (1990).
Let \(X\) be a Lévy processes with finite exponential moments, and \(\psi(\gamma)=\log E e^{\gamma X(1)}\). Under certain assumptions on \(\psi\) and for \(x\) and \(t\) tending to infinity in a fixed proportion \(v\), the authors prove that \(P(\sup_{u\leq t} X(u)>x)\sim C_\gamma e^{-\gamma x}\) if \(0<v<\psi'(\gamma)\) and \(P(\sup_{u\leq t} X(u)>x)\sim D_v t^{-1/2} e^{-\psi^*(v)t}\) if \(v>\psi'(\gamma)\), with \(C_0=1\) and \(D_v\) being given explicitly.
Recommendations
- Asymptotics for the first passage times of Lévy processes and random walks
- Exponential moments of first passage times and related quantities for Lévy processes
- Sample paths of a Lévy process leading to first passage over high levels in finite time
- Convolution equivalent Lévy processes and first passage times
- A note on first passage probabilities of a Lévy process reflected at a general barrier
Cites work
- An asymptotic expression for the probability of ruin within finite time
- Cramér's estimate for Lévy processes
- Hitting probabilities and large deviations
- scientific article; zbMATH DE number 3113902 (Why is no real title available?)
- scientific article; zbMATH DE number 4044897 (Why is no real title available?)
- scientific article; zbMATH DE number 3500818 (Why is no real title available?)
- scientific article; zbMATH DE number 1249326 (Why is no real title available?)
- scientific article; zbMATH DE number 1102528 (Why is no real title available?)
- scientific article; zbMATH DE number 918811 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
- Pricing Barrier Options with Time–Dependent Coefficients
- Ruin probabilities expressed in terms of ladder height distributions
- Sequential analysis. Tests and confidence intervals
Cited in
(17)- Cramér's estimate for Lévy processes
- The exact asymptotics for hitting probability of a remote orthant by a multivariate Lévy process: the Cramér case
- Optimal control and dependence modeling of insurance portfolios with Lévy dynamics
- On future drawdowns of Lévy processes
- Sample paths of a Lévy process leading to first passage over high levels in finite time
- Importance sampling approximations to various probabilities of ruin of spectrally negative Lévy risk processes
- Exponential moments of first passage times and related quantities for Lévy processes
- Convolution equivalent Lévy processes and first passage times
- scientific article; zbMATH DE number 1059747 (Why is no real title available?)
- A note on first passage probabilities of a Lévy process reflected at a general barrier
- Ruin probabilities in classical risk models with gamma claims
- Non-uniqueness of the first passage time density of Lévy random processes
- Asymptotics for the first passage times of Lévy processes and random walks
- Ruin probabilities for risk process in a regime-switching environment
- Non-asymptotic control of the cumulative distribution function of Lévy processes
- Cramér's estimate for a reflected Lévy process
- On exact sampling of the first passage event of a Lévy process with infinite Lévy measure and bounded variation
This page was built for publication: Cramér asymptotics for finite time first passage probabilities of general Lévy processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q840787)
