Cramér asymptotics for finite time first passage probabilities of general Lévy processes

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dc.creatorPalmowski, Zbigniew
dc.creatorPistorius, Martijn
dc.date2008-04-19
dc.date2009-04-26
dc.date.accessioned2026-07-07T13:08:12Z
dc.date.available2026-07-07T13:08:12Z
dc.descriptionWe derive the exact asymptotics of $P(\sup_{u\leq t}X(u) > x)$ if $x$ and $t$ tend to infinity with $x/t$ constant, for a Lévy process $X$ that admits exponential moments. The proof is based on a renewal argument and a two-dimensional renewal theorem of Höglund (1990).
dc.identifierhttps://arxiv.org/abs/0804.3169
dc.identifierhttp://arxiv.org/abs/0804.3169
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/228341
dc.subjectProbability
dc.subject60G50
dc.titleCramér asymptotics for finite time first passage probabilities of general Lévy processes
dc.typetext

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