Asymptotics for the First Passage Times of Lévy Processes and Random Walks
Asymptotics for the First Passage Times of Lévy Processes and Random Walks
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Publisher
Cambridge, UK: Cambridge University Press
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Language
English
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Publisher
Cambridge, UK: Cambridge University Press
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Scope and Contents
Contents
We study the exact asymptotics for the distribution of the first time, τ
x
, a Lévy process X
t
crosses a fixed negative level -x. We prove that ℙ{τ
x
>t} ~V(x) ℙ{X
t
≥0}/t as t→∞ for a certain function V(x). Using known results for the large deviations of random walks, we obtain asymptotics for ℙ{τ
x
>t} explicitly in...
Alternative Titles
Full title
Asymptotics for the First Passage Times of Lévy Processes and Random Walks
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Author / Creator
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Record Identifier
TN_cdi_projecteuclid_primary_oai_CULeuclid_euclid_jap_1363784425
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_projecteuclid_primary_oai_CULeuclid_euclid_jap_1363784425
Other Identifiers
ISSN
0021-9002
E-ISSN
1475-6072
DOI
10.1239/jap/1363784425
