First passage times on zero and one and natural exponential families

Célestin C. Kokonendji

Statistics & Probability Letters, 2001, vol. 51, issue 3, 293-298

Abstract: In this article, we link the first passage times on zero and one for certain Lévy processes on and for right continuous random walks on . We use it to get a probabilistic interpretation of the notion of inversion between natural exponential families. The application to cubic variance functions is given.

Keywords: First; passage; time; Inversion; Lévy; process; Natural; exponential; family; Variance; function (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (1)

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