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2007.96: Curve Crossing for the Reflected Levy Process at zero and infinity

2007.96: Mladen Savov (2007) Curve Crossing for the Reflected Levy Process at zero and infinity.

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Abstract

Let Rt = sup0st Xs −Xt be a L´evy process reflected in its maximum. We give necessary and sufficient conditions for finiteness of passage times above power law boundaries at zero and infinity. Information, as to when the expected passage time for Rt is finite, is given.

Item Type:MIMS Preprint
Uncontrolled Keywords:Reflected process, passage times, power law boundaries.
Subjects:MSC 2000 > 60 Probability theory and stochastic processes
MIMS number:2007.96
Deposited By:Dr Peter Neal
Deposited On:16 July 2007

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