English

Mid-concavity of survival probability for isotropic Levy processes

Probability 2015-09-30 v1 Spectral Theory

Abstract

Let XX be a symmetric, pure jump, unimodal Levy process in R\mathbb{R} with an infinite Levy measure. We prove that for any fixed t>0t > 0 the survival probability Px(τ(a,a)>t)P^x(\tau_{(-a,a)} > t) is nondecreasing on (a,0](-a,0], nonincreasing on [0,a)[0,a) and concave on (a/2,a/2)(-a/2,a/2), where a>0a > 0 and τ(a,a)\tau_{(-a,a)} is the first exit time of the process XX from (a,a)(-a,a). We also show a similar statement for sets (a,a)×FRd(-a,a) \times F \subset \mathbb{R}^d.

Keywords

Cite

@article{arxiv.1509.08635,
  title  = {Mid-concavity of survival probability for isotropic Levy processes},
  author = {Tadeusz Kulczycki},
  journal= {arXiv preprint arXiv:1509.08635},
  year   = {2015}
}