English

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 (r,)(r,\infty), the sojourn time in the interval (,r](-\infty,r], and the last exit time from (,r](-\infty,r]. Moreover, whenever these quantities are finite, we derive their respective asymptotic behavior as rr \to \infty.

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