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Stability of the exit time for Levy processes

Date

Authors

Griffin, Philip S

Maller, Ross

Publisher

Applied Probability Trust

Abstract

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

Keywords

Keywords: 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

URI

http://hdl.handle.net/1885/51558

Collections

ANU Research Publications

Source

Advances in Applied Probability

Type

Journal article

DOI

10.1239/aap/1316792667

Restricted until

2037-12-31

Downloads

File

Description

01_Griffin_Stability_of_the_exit_time_for_2011.pdf (169.79 KB)

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