Mid-concavity of survival probability for isotropic Levy processes
Probability
2015-09-30 v1 Spectral Theory
Abstract
Let be a symmetric, pure jump, unimodal Levy process in with an infinite Levy measure. We prove that for any fixed the survival probability is nondecreasing on , nonincreasing on and concave on , where and is the first exit time of the process from . We also show a similar statement for sets .
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}
}