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Small and large time stability of the time taken for a Lévy process to cross curved boundaries

Griffin, Philip S; Maller, Ross

Description

This paper is concerned with the small time behaviour of a Lévy process X. In particular, we investigate the stabilities of the times, T̄ b(r) and Tb* (r), at which X, started with X 0 = 0, first leaves the space-time regions {(t, y) ∈ ℝ2: y ≤ rtb

CollectionsANU Research Publications
Date published: 2013
Type: Journal article
URI: http://hdl.handle.net/1885/73968
Source: Annales de l Institut Henri Poincare B: Probability and Statistics
DOI: 10.1214/11-AIHP449

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