Extensions of Regularity for a Levy Process

Date

2018-08-08

Authors

Maller, Ross

Journal Title

Journal ISSN

Volume Title

Publisher

Society for Industrial and Applied Mathematics

Abstract

We obtain necessary and sufficient conditions for the finiteness of certain moment functions of the random variable T0(-), which is the first passage time of a Levy process (X-t)(t >= 0) below zero, and the position XT0- of the process at this time. Our results generalize classical results of Rogozin and Bertoin on the regularity of X, and extend earlier results of Blumenthal and Getoor on the regularity index.

Description

Keywords

regularity of a real-valued L´evy process, dominance of the positive part of a L´evy process over the negative part, first passage of a L´evy process below zero, first passage time, dominated variation conditions, Rogozin regularity condition

Citation

Source

Theory of Probability and its Applications

Type

Journal article

Book Title

Entity type

Access Statement

Open Access

License Rights

DOI

10.1137/S0040585X97T988824

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