Stability of the Overshoot for Lévy Processes
Doney, R.A. ; Maller, R.A.
Ann. Probab., Tome 30 (2002) no. 1, p. 188-212 / Harvested from Project Euclid
We give equivalences for conditions like $X(T(r))/r\rightarrow 1$ and $X(T^{*}(r))/\allowbreak r\rightarrow 1$, where the convergence is in probability or almost sure, both as $r\rightarrow 0$ and $r\rightarrow \infty$, where $X$ is a L\'{e}vy process and $T(r)$ and $T^{*}(r)$ are the first exit times of $X$ out of the strip $\{(t,y):t> 0,|y|\leq r\}$ and half-plane $\{(t,y):t> 0$, $y\leq r\}$, respectively. We also show, using a result of Kesten, that $X(T^{*}(r))/r\rightarrow 1$ a.s.\ as $r\to 0$ is equivalent to $X$ ``creeping'' across a level.
Publié le : 2002-01-14
Classification:  Processes with independent increments,  exit times,  first passage times,  local behavior,  60G51,  60G17
@article{1020107765,
     author = {Doney, R.A. and Maller, R.A.},
     title = {Stability of the Overshoot for L\'evy Processes},
     journal = {Ann. Probab.},
     volume = {30},
     number = {1},
     year = {2002},
     pages = { 188-212},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1020107765}
}
Doney, R.A.; Maller, R.A. Stability of the Overshoot for Lévy Processes. Ann. Probab., Tome 30 (2002) no. 1, pp.  188-212. http://gdmltest.u-ga.fr/item/1020107765/