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Stability of the exit time for Levy processes

Griffin, Philip S; Maller, Ross


This paper is concerned with the behaviour of a Lévy process when it crosses over a positive level, u, starting from 0, both as u becomes large and as u becomes small. Our main focus is on the time, τu, it takes the process to transit above the level, a

CollectionsANU Research Publications
Date published: 2011
Type: Journal article
Source: Advances in Applied Probability
DOI: 10.1239/aap/1316792667


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