Stability of the Exit Time for Lévy Processes

Details Stability of the Exit Time for Lévy Processes Stability of the Exit Time for Lévy Processes

2011-06-27

arxiv.org/abs/1106.5389v1

Adv. Appl. Probab. 43, 712-734 (2011)

Mathematics

Probability

Scientific paper

This paper is concerned with the behaviour of a L\'{e}vy process when it crosses over a positive level, $u$, starting from 0, both as $u$ becomes large and as $u$ becomes small. Our main focus is on the time, $\tau_u$, it takes the process to transit above the level, and in particular, on the {\it stability} of this passage time; thus, essentially, whether or not $\tau_u$ behaves linearly as $u\dto 0$ or $u\to\infty$. We also consider conditional stability of $\tau_u$ when the process drifts to $-\infty$, a.s. This provides information relevant to quantities associated with the ruin of an insurance risk process, which we analyse under a Cram\'er condition.

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