Using differential equations to obtain joint moments of first-passage times of increasing Lévy processes

DOI10.1016/j.spl.2010.01.002zbMath1203.60049arXiv0906.5083OpenAlexW2026148260MaRDI QIDQ962030

Murad S. Taqqu, Mark S. Veillette

Publication date: 1 April 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0906.5083

zbMATH Keywords

Laplace transformsubordinatorfirst passage timerecursion formulajoint momentslevy processlocal time of Markov processes

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Characteristic functions; other transforms (60E10) Local time and additive functionals (60J55) Renewal theory (60K05)

Related Items (20)

Compositions of Poisson and Gamma processes ⋮ Asymptotic behaviour of ancestral lineages in subcritical continuous-state branching populations ⋮ Numerical computation of hitting time distributions of increasing Lévy processes ⋮ Mixtures of Tempered Stable Subordinators ⋮ First-exit times of an inverse Gaussian process ⋮ Fractional Erlang queues ⋮ Fractional Skellam processes with applications to finance ⋮ Numerical computation of first-passage times of increasing Lévy processes ⋮ On the inverse gamma subordinator ⋮ Fractal dimension results for continuous time random walks ⋮ Non-local logistic equations from the probability viewpoint ⋮ Fractional Poisson fields and martingales ⋮ Joint distribution of a Lévy process and its running supremum ⋮ Abstract Cauchy problems for the generalized fractional calculus ⋮ Convolution-type derivatives, hitting-times of subordinators and time-changed \(C_0\)-semigroups ⋮ On exact sampling of the first passage event of a Lévy process with infinite Lévy measure and bounded variation ⋮ On the long-range dependence of mixed fractional Poisson process ⋮ Fractional risk process in insurance ⋮ Fractional Poisson fields ⋮ Stochastic solutions for time-fractional heat equations with complex spatial variables

Cites Work

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• Limit theorems for continuous-time random walks with infinite mean waiting times
• Lévy Processes and Stochastic Calculus
• A renewal-process-type expression for the moments of inverse subordinators
• Markov Processes, Gaussian Processes, and Local Times
• Markov Sets.

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