Exponential moments of first passage times and related quantities for L\'evy processes
Probability
2014-09-11 v1
Abstract
For a L\'evy process on the real line, we provide complete criteria for the finiteness of exponential moments of the first passage time into the interval , the sojourn time in the interval , and the last exit time from . Moreover, whenever these quantities are finite, we derive their respective asymptotic behavior as .
Keywords
Cite
@article{arxiv.1409.3154,
title = {Exponential moments of first passage times and related quantities for L\'evy processes},
author = {Frank Aurzada and Alexander Iksanov and Matthias Meiners},
journal= {arXiv preprint arXiv:1409.3154},
year = {2014}
}
Comments
21 pages, submitted