Moments of passage times for Levy processes

Doney, R A; Maller, Ross

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Moments of passage times for Levy processes

Date

2004

Authors

Doney, R A

Maller, Ross

Publisher

Gauthier-Villars

Abstract

We give necessary and sufficient conditions, in terms of characteristics of the process, for finiteness of moments of passage times of general Lévy processes above horizontal, linear or certain curved boundaries. They apply in particular to processes whi