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Moments of passage times for Levy processes

Doney, R A; Maller, Ross


We give necessary and sufficient conditions, in terms of characteristics of the process, for finiteness of moments of passage times of general Lévy processes above horizontal, linear or certain curved boundaries. They apply in particular to processes whi

CollectionsANU Research Publications
Date published: 2004
Type: Journal article
Source: Annales de l Institut Henri Poincare B: Probability and Statistics
DOI: 10.1016/j.anihpb.2003.10.005


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