Abstract
We give necessary and sufficient conditions, in terms of characteristics of the process, for finiteness of moments of passage times of general Lévy processes above horizontal, linear or certain curved boundaries. They apply in particular to processes which drift almost surely to infinity, and lead to estimates of the rate of growth of certain expectations, constituting generalised kinds of renewal theorems. Further results concern the inverse local time at the maximum and the ladder height process, the amount of time spent below a given level, and the overall minimum of the Lévy process.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: Annales de l'Institut Henri Poincare / Probabilites et statistiques
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
