The First Passage Time Problem Over a Moving Boundary for Asymptotically Stable Lévy Processes

Frank Aurzada () and Tanja Kramm ()
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Frank Aurzada: Technische Universität Darmstadt
Tanja Kramm: Technische Universität Darmstadt

Journal of Theoretical Probability, 2016, vol. 29, issue 3, 737-760

Abstract: Abstract We study the asymptotic tail behaviour of the first passage time over a moving boundary for asymptotically $$\alpha $$ α -stable Lévy processes with $$\alpha

Keywords: Lévy process; Moving boundary; First passage time; Boundary crossing probability; Persistence probability; 60G51 (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/s10959-015-0596-x

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