Using differential equations to obtain joint moments of first-passage times of increasing Lévy processes

Mark Veillette and Murad S. Taqqu

Statistics & Probability Letters, 2010, vol. 80, issue 7-8, 697-705

Abstract: Let {D(s),s>=0} be a Lévy subordinator, that is, a non-decreasing process with stationary and independent increments and suppose that D(0)=0. We study the first-hitting time of the process D, namely, the process E(t)=inf{s:D(s)>t}, t>=0. The process E is, in general, non-Markovian with non-stationary and non-independent increments. We derive a partial differential equation for the Laplace transform of the n-time tail distribution function P[E(t1)>s1,...,E(tn)>sn]. This PDE can be used to derive all n-time moments of the process E. As an application, we give a recursive formula for multiple-time moments of the local time of a Markov process in terms of its transition density.

Date: 2010
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