Year: 2019
Type: preprint
Abstract: In this paper we study the mean of the first exit time from a bounded interval of various Lévy processes. We establish sharp two-sided estimates of the mean for Lévy processes under certain condition on their characteristic exponents. We also study the cumulative distribution function of the supremum and infimum processes. Finally, we establish integral conditions that assure that the renewal function of the ladder height process is comparable with the linear one.
Source: arXiv (Cornell University)
Author: Grzywny, Tomasz
Language: English
Subfield: Mathematical Physics
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W2984369409