Asymptotic behaviour of first passage time distributions for subordinators

DOI10.1214/EJP.V20-3879zbMATH Open1333.60094arXiv1306.1503OpenAlexW2964212516MaRDI QIDQ894149FDOQ894149

Víctor Manuel Rivero, Ronald A. Doney

Publication date: 27 November 2015

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: In this paper we establish local estimates for the first passage time of a subordinator under the assumption that it belongs to the Feller class, either at zero or infinity, having as a particular case the subordinators which are in the domain of attraction of a stable distribution, either at zero or infinity. To derive these results we first obtain uniform local estimates for the one dimensional distribution of such a subordinator, which sharpen those obtained by Jain and Pruitt in 1987. In the particular case of a subordinator in the domain of attraction of a stable distribution the results are the analogue of the results obtained by the authors for non-monotone L'evy processes. For subordinators an approach different to that used for non-monotone L'evy processes is necessary because the excursion techniques are not available and also because typically in the non-monotone case the tail distribution of the first passage time has polynomial decrease, while in the subordinator case it is exponential.

Full work available at URL: https://arxiv.org/abs/1306.1503

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zbMATH Keywords

first passage time distributionlocal limit theoremssubordinators

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Large deviations (60F10) Asymptotic distribution theory in statistics (62E20)

Cited In (5)

• Estimates on transition densities of subordinators with jumping density decaying in mixed polynomial orders
• A lifetime of excursions through random walks and Lévy processes
• Regularity and asymptotics of densities of inverse subordinators
• First passage times of subordinators and urns
• First passage time of the frog model has a sublinear variance

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