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Curve crossing for the reflected Levy process at zero and infinity

Savov, S. S. (2008) Curve crossing for the reflected Levy process at zero and infinity. Electronic Journal of Probability, 13. pp. 157-172. ISSN 1083-6489

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To link to this article DOI: 10.1214/EJP.v13-483

Abstract/Summary

Let $R_{t}=\sup_{0\leq s\leq t}X_{s}-X_{t}$ be a Levy process reflected in its maximum. We give necessary and sufficient conditions for finiteness of passage times above power law boundaries at infinity. Information as to when the expected passage time for $R_{t}$ is finite, is given. We also discuss the almost sure finiteness of $\limsup_{t\to 0}R_{t}/t^{\kappa}$, for each $\kappa\geq 0$.

Item Type:Article
Refereed:Yes
Divisions:Faculty of Science > School of Mathematical and Physical Sciences > Department of Mathematics and Statistics
ID Code:29302
Publisher:Institute of Mathematical Statistics; Bernoulli Society

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