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Extensions of Regularity for a Levy Process

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dc.contributor.authorMaller, Ross
dc.date.accessioned2021-04-14T02:30:47Z
dc.date.available2021-04-14T02:30:47Z
dc.date.issued2018-08-08
dc.date.updated2020-11-23T11:40:59Z
dc.description.abstractWe 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.en_AU
dc.description.sponsorshipThis research was partially supported by ARC grant DP1092502en_AU
dc.format.mimetypeapplication/pdfen_AU
dc.identifier.issn0040-585Xen_AU
dc.identifier.urihttp://hdl.handle.net/1885/229850
dc.language.isoen_AUen_AU
dc.provenancehttps://v2.sherpa.ac.uk/id/publication/13602..."Published version can be made open access on non-commercial institutional repository" from SHERPA/RoMEO site (as at 14.4.21)en_AU
dc.publisherSociety for Industrial and Applied Mathematicsen_AU
dc.relationhttp://purl.org/au-research/grants/arc/DP1092502en_AU
dc.rights© 2018 Society for Industrial and Applied Mathematicsen_AU
dc.sourceTheory of Probability and its Applicationsen_AU
dc.subjectregularity of a real-valued L´evy processen_AU
dc.subjectdominance of the positive part of a L´evy process over the negative parten_AU
dc.subjectfirst passage of a L´evy process below zeroen_AU
dc.subjectfirst passage timeen_AU
dc.subjectdominated variation conditionsen_AU
dc.subjectRogozin regularity conditionen_AU
dc.titleExtensions of Regularity for a Levy Processen_AU
dc.typeJournal articleen_AU
dcterms.accessRightsOpen Accessen_AU
dcterms.dateAccepted2016-07-31
local.bibliographicCitation.issue4en_AU
local.bibliographicCitation.lastpage603en_AU
local.bibliographicCitation.startpage575en_AU
local.contributor.affiliationMaller, Ross, College of Business and Economics, ANUen_AU
local.contributor.authoruidMaller, Ross, u4061848en_AU
local.description.notesImported from ARIESen_AU
local.identifier.absfor010404 - Probability Theoryen_AU
local.identifier.ariespublicationu4485658xPUB2379en_AU
local.identifier.citationvolume62en_AU
local.identifier.doi10.1137/S0040585X97T988824en_AU
local.identifier.essn1095-7219en_AU
local.identifier.thomsonID000441079600006
local.publisher.urlhttps://epubs.siam.org/en_AU
local.type.statusPublished Versionen_AU

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