Asymptotic behaviour of first passage time distributions for subordinators

DOI10.1214/EJP.V20-3879MaRDI QIDQ894149zbMATH OpenOpenAlexFDO

Authors Ronald A. Doney, Víctor Manuel Rivero

Publication date 27 November 2015

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

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

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)

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.

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Cited in

(6)

• First passage times for subordinate Brownian motions
• 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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