Sample paths of a Lévy process leading to first passage over high levels in finite time

Philip S Griffin, Dale O. Roberts

Research output: Contribution to journalArticle

Abstract

Let X be a Lévy process and τ(u)=inf{t:Xt>u} the first passage time of X over level u. For fixed T

Original languageEnglish (US)
Pages (from-to)1331-1352
Number of pages22
JournalStochastic Processes and their Applications
Volume126
Issue number5
DOIs
StatePublished - May 1 2016

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Keywords

  • Asymptotic
  • Convolution equivalent
  • First passage within finite time
  • Insurance risk
  • Lévy processes
  • Semi-heavy tails
  • Subexponential

ASJC Scopus subject areas

  • Modeling and Simulation
  • Statistics and Probability
  • Applied Mathematics

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