Curve Crossing for the Reflected Levy Process at zero and infinity

Savov, Mladen (2007) Curve Crossing for the Reflected Levy Process at zero and infinity. [MIMS Preprint]

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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 2010, the AMS's Mathematics Subject Classification > 60 Probability theory and stochastic processes
Depositing User: Dr Peter Neal
Date Deposited: 16 Jul 2007
Last Modified: 08 Nov 2017 18:18
URI: http://eprints.maths.manchester.ac.uk/id/eprint/824

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