Small and large time stability of the time taken for a Lévy process to cross curved boundaries

Griffin, Philip S; Maller, Ross

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Small and large time stability of the time taken for a Lévy process to cross curved boundaries

Date

2013

Authors

Griffin, Philip S

Maller, Ross

Publisher

Gauthier-Villars

Abstract

This paper is concerned with the small time behaviour of a Lévy process X. In particular, we investigate the stabilities of the times, T̄ b(r) and Tb* (r), at which X, started with X 0 = 0, first leaves the space-time regions {(t, y) ∈ ℝ2: y ≤ rtb

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http://hdl.handle.net/1885/73968

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Open Access Research

Source

Annales de l Institut Henri Poincare B: Probability and Statistics

Type

Journal article

DOI

10.1214/11-AIHP449

Restricted until

2037-12-31

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Small and large time stability of the time taken for a Lévy process to cross curved boundaries

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