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Stability of the exit time for Levy processes

Griffin, Philip S; Maller, Ross

Description

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

dc.contributor.authorGriffin, Philip S
dc.contributor.authorMaller, Ross
dc.date.accessioned2015-12-10T22:18:47Z
dc.identifier.issn0001-8678
dc.identifier.urihttp://hdl.handle.net/1885/51558
dc.description.abstractThis 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
dc.publisherApplied Probability Trust
dc.sourceAdvances in Applied Probability
dc.subjectKeywords: Conditional stability; Exit time; Insurance risk; Insurance risk process; Overshoot; Passage time; Convergence of numerical methods; Stability Cramér condition; Insurance risk process; Lévy process; Overshoot; Passage time above a level; Stability
dc.titleStability of the exit time for Levy processes
dc.typeJournal article
local.description.notesImported from ARIES
local.identifier.citationvolume43
dc.date.issued2011
local.identifier.absfor010404 - Probability Theory
local.identifier.ariespublicationf5625xPUB227
local.type.statusPublished Version
local.contributor.affiliationGriffin, Philip S, Syracuse University
local.contributor.affiliationMaller, Ross, College of Business and Economics, ANU
local.description.embargo2037-12-31
local.bibliographicCitation.issue3
local.bibliographicCitation.startpage712
local.bibliographicCitation.lastpage734
local.identifier.doi10.1239/aap/1316792667
dc.date.updated2016-02-24T08:56:21Z
local.identifier.scopusID2-s2.0-80053401158
CollectionsANU Research Publications

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