Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1156355 | Stochastic Processes and their Applications | 2016 | 22 Pages |
Abstract
Let XX be a Lévy process and τ(u)=inf{t:Xt>u}τ(u)=inf{t:Xt>u} the first passage time of XX over level uu. For fixed T<∞T<∞, sharp asymptotic estimates for P(τ(u)
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Philip S. Griffin, Dale O. Roberts,