Hitting times of points for symmetric Lévy processes with completely monotone jumps
نویسندگان
چکیده
منابع مشابه
On the laws of first hitting times of points for one-dimensional symmetric stable Lévy processes
Several aspects of the laws of first hitting times of points are investigated for one-dimensional symmetric stable Lévy processes. Itô’s excursion theory plays a key role in this study.
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We consider a stochastic process (Xt)t≥0 that grows linearly in time and experiences collapses at times governed by a Poisson process with rate λ. The collapses are modeled by multiplying the process level by a random variable supported on [0, 1). For the hitting time defined as τy = inf{t > 0|Xt = y} we derive power series for the Laplace transform and all moments. We further discuss the asymp...
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ژورنال
عنوان ژورنال: Electronic Journal of Probability
سال: 2015
ISSN: 1083-6489
DOI: 10.1214/ejp.v20-3440