Stability of the exit time for Levy processes
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
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|Source:||Advances in Applied Probability|
|01_Griffin_Stability_of_the_exit_time_for_2011.pdf||169.79 kB||Adobe PDF||Request a copy|
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