The time at which a levy process creeps

Griffin, Philip S; Maller, Ross

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The time at which a levy process creeps

Date

2011

Authors

Griffin, Philip S

Maller, Ross

Publisher

Institute of Mathematical Statistics

Abstract

We show that if a Lévy process (Xt)t≥0 creeps then, as a function of u, the renewal function V(t, u) of the bivariate ascending ladder process (L-1,H) is absolutely continuous on [0,α) and left differentiable on (0, α), and the left derivative at u i