Asymptotic Behaviour of First Passage Time Distributions for Lévy Processes
نویسندگان
چکیده
منابع مشابه
Overshoots and undershoots of Lévy Processes
We obtain a new fluctuation identity for a general Lévy process giving a quintuple law describing the time of first passage, the time of the last maximum before first passage, the overshoot, the undershoot and the undershoot of the last maximum. With the help of this identity, we revisit the results of Klüppelberg, Kyprianou and Maller [Ann. Appl. Probab. 14 (2004) 1766–1801] concerning asympto...
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