Proper two-sided exits of a Lévy process

Matija Vidmar

Statistics & Probability Letters, 2017, vol. 125, issue C, 160-163

Abstract: It is proved that the two-sided exits of a Lévy process are proper, i.e. are not a.s. equal to their one-sided counterparts, if and only if said process is not a subordinator or the negative of a subordinator. Furthermore, Lévy processes are characterized, for which the supports of the first exit times from bounded annuli, simultaneously on each of the two events corresponding to exit at the lower and the upper boundary, respectively are unbounded, contain 0, are equal to [0,∞).

Keywords: Lévy process; Two-sided exit; Support of measure (search for similar items in EconPapers)
Date: 2017
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167715215303655
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:125:y:2017:i:c:p:160-163

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2017.02.002

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().