The First Passage Time Problem Over a Moving Boundary for Asymptotically Stable Lévy Processes

Author:

Aurzada Frank,Kramm Tanja

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability

Reference44 articles.

1. Aurzada, F., Kramm, T.: First exit of Brownian motion from a one-sided moving boundary. In: High Dimensional Probability VI: The Banff Volume. Progress in Probability 66, 215–219 (2013)

2. Aurzada, F., Kramm, T., Savov, M.: First passage times of Lévy processes over a one-sided moving boundary. Markov Processes and Related Fields, to appear, http://arxiv.org/abs/1201.1118

3. Aurzada, F., Simon, T.: Persistence probabilities & exponents. Lévy matters, Springer, to appear, http://arxiv.org/abs/1203.6554

4. Baltrūnas, A.: Some asymptotic results for transient random walks with applications to insurance risk. J. Appl. Probab. 38(1), 108–121 (2001)

5. Bertoin, J.: Lévy Processes. Cambridge Univ. Press, Cambridge (1996)

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