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

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Griffin, Philip S; Maller, Ross

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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

dc.contributor.authorGriffin, Philip S
dc.contributor.authorMaller, Ross
dc.date.accessioned2015-12-13T22:27:30Z
dc.identifier.issn0246-0203
dc.identifier.urihttp://hdl.handle.net/1885/73968
dc.description.abstractThis 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
dc.publisherGauthier-Villars
dc.rightsAuthor/s retain copyright
dc.sourceAnnales de l Institut Henri Poincare B: Probability and Statistics
dc.subjectKeywords: Lévy process; Overshoot; Passage times across power law boundaries; Random walks; Relative stability
dc.titleSmall and large time stability of the time taken for a Lévy process to cross curved boundaries
dc.typeJournal article
local.description.notesImported from ARIES
local.identifier.citationvolume49
dc.date.issued2013
local.identifier.absfor010400 - STATISTICS
local.identifier.ariespublicationf5625xPUB3911
local.type.statusPublished Version
local.contributor.affiliationGriffin, Philip S, Syracuse University
local.contributor.affiliationMaller, Ross, College of Physical and Mathematical Sciences, ANU
local.bibliographicCitation.issue1
local.bibliographicCitation.startpage208
local.bibliographicCitation.lastpage235
local.identifier.doi10.1214/11-AIHP449
dc.date.updated2016-02-24T09:18:47Z
local.identifier.scopusID2-s2.0-84879227592
local.identifier.thomsonID000315017300010
dcterms.accessRightsOpen Access
CollectionsANU Research Publications

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