Exact and asymptotic n-tuple laws at first and last passage

DOI10.1214/09-AAP626zbMATH Open1200.60038arXiv0811.3075OpenAlexW1835046092MaRDI QIDQ968775FDOQ968775

Authors: A. E. Kyprianou, J. C. Pardo, Víctor Manuel Rivero 

Publication date: 6 May 2010

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: Understanding the space-time features of how a L'evy process crosses a constant barrier for the first time, and indeed the last time, is a problem which is central to many models in applied probability such as queueing theory, financial and actuarial mathematics, optimal stopping problems, the theory of branching processes to name but a few. In cite{KD} a new quintuple law was established for a general L'evy process at first passage below a fixed level. In this article we use the quintuple law to establish a family of related joint laws, which we call $n$-tuple laws, for L'evy processes, L'evy processes conditioned to stay positive and positive self-similar Markov processes at both first and last passage over a fixed level. Here the integer $n$ typically ranges from three to seven. Moreover, we look at asymptotic overshoot and undershoot distributions and relate them to overshoot and undershoot distributions of positive self-similar Markov processes issued from the origin. Although the relation between the $n$-tuple laws for L'evy processes and positive self-similar Markov processes are straightforward thanks to the Lamperti transformation, by inter-playing the role of a (conditioned) stable processes as both a (conditioned) L'evy processes and a positive self-similar Markov processes, we obtain a suite of completely explicit first and last passage identities for so-called Lamperti-stable L'evy processes. This leads further to the introduction of a more general family of L'evy processes which we call hypergeometric L'evy processes, for which similar explicit identities may be considered.

Full work available at URL: https://arxiv.org/abs/0811.3075

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zbMATH Keywords

first passage timefluctuation theoryovershootundershootlast passage time\(n\)-tuple lawsLévy processconditioned Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cited In (24)

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