Stability of the overshoot for Lévy processes

Annals of Probability

Volumn 30, Issue 1, 2002, Pages 188-212

  Doney, R A ^a   Maller, R A ^a  

^a UNIVERSITY OF MANCHESTER   (United Kingdom)

Author keywords

Exit times; First passage times; Local behavior; Processes with independent increments

Indexed keywords

EID: 0035993023     PISSN: 00911798     EISSN: None     Source Type: Journal    
DOI: 10.1214/aop/1020107765     Document Type: Article

References (16)

1. Regularity of the half-line for Lévy processes
2. Cramér's estimate for Lévy processes
3. On moments of ladder height variables
4. Stability and attraction to Normality for Lévy processes at zero and infinity
5. On the rate of growth of the overshoot and the maximal partial sum
6. On the position of a random walk at the time of first exit from a sphere
7. p-boundedness of the overshoot in multidimensional renewal theory
8. Hitting probabilities of single points for processes with stationary independent increments
9. The limit points of a normalized random walk
10. Random walks crossing power law boundaries
11. Exit properties of stochastic processes with stationary independent increments
12. The growth of random walks and Lévy processes
13. On distributions of functionals related to boundary crossing problems for processes with independent increments