Hitting probabilities for Lévy processes on the real line

Ruin Probabilities and Overshoots for General Lévy Insurance Risk Processes

We formulate the insurance risk process in a general Lévy process setting, and give general theorems for the ruin probability and the asymptotic distribution of the overshoot of the process above a high level, when the process drifts to −∞ a.s. and the positive tail of the Lévy measure, or of the ladder height measure, is subexponential or, more generally, convolution equivalent. Results of Asm...

Spectral theory for symmetric one - dimensional Lévy processes killed upon hitting the origin ∗

Spectral theory for transition operators of one-dimensional symmetric Lévy process killed upon hitting the origin is studied. Under very mild assumptions, an integraltype formula for eigenfunctions is obtained, and eigenfunction expansion of transition operators and the generator is proved. As an application, and the primary motivation, integral fomulae for the transition density and the distri...

Hitting probabilities and large deviations

Let ”Yn•n∈Z+ be a sequence of random variables in R d and let A ⊂ Rd: Then P”Yn ∈ A for some n• is the hitting probability of the set A by the sequence ”Yn•. We consider the asymptotic behavior, as m → ∞, of P”Yn ∈ mA; some n• = P”hitting mA• whenever (1) the probability law of Yn/n satisfies the large deviation principle and (2) the central tendency of Yn/n is directed away from the given set ...

Hitting probabilities for Brownian motion on Riemannian manifolds

Hitting times for Gaussian processes

We establish a general formula for the Laplace transform of the hitting times of a Gaussian process. Some consequences are derived, and in particular cases like the fractional Brownian motion are discussed. AMS Subject Classification: 60H05, 60H07