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Curve Crossing for the Reflected Levy Process at Zero and Infinity


 
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1. Title Title of document Curve Crossing for the Reflected Levy Process at Zero and Infinity
 
2. Creator Author's name, affiliation, country Mladen Svetoslavov Savov; The University of Manchester
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Reflected process, passage times, power law boundaries
 
3. Subject Subject classification 60G51; 60F15; 60K05;60G40; 60G44
 
4. Description Abstract Let $R_{t}=\sup_{0\leq s\leq t}X_{s}-X_{t}$ be a Levy process reflected in its maximum. We give necessary and sufficient conditions for finiteness of passage times above power law boundaries at infinity. Information as to when the expected passage time for $R_{t}$ is finite, is given. We also discuss the almost sure finiteness of $\limsup_{t\to 0}R_{t}/t^{\kappa}$, for each $\kappa\geq 0$.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2008-01-30
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/483
 
10. Identifier Digital Object Identifier 10.1214/EJP.v13-483
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 13
 
12. Language English=en
 
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