Hitting probabilities for Lévy processes on the real line

Abstract

We prove sharp two-sided estimates on the tail probability of the first hitting time of bounded interval as well as its asymptotic behaviour for general non-symmetric processes which satisfy an integral condition \[ \int_0^{\infty} \frac{dξ}{1+\operatorname{Re} ψ(ξ)}<\infty. \] To this end, we first prove and then apply the global scale invariant Harnack inequality. Results are obtained under certain conditions on the characteristic exponent. We provide a wide class of Lévy processs which satisfy these assumptions.