T. Wetzel

most citedFirst exit times for Lévy-driven diffusions with exponentially light jumps

40 citations · 40 across the 2 of their papers we have counts for

collaborators

2 papers

math.PR2025

Large deviations for light-tailed Lévy bridges on short time scales

Michael A. Högele, Torsten Wetzel

Let $L = (L (t))_{t \geq 0}$ be a multivariate Lévy process with Lévy measure $ν (d y) = exp (- f (∣ y ∣)) d y$ for a smoothly regularly varying function $f$ of index $α > 1$ . The process $L$ …

math.PR2007★ 40 cited

First exit times for Lévy-driven diffusions with exponentially light jumps

Peter Imkeller, Ilya Pavlyukevich, Torsten Wetzel

We consider a dynamical system described by the differential equation $Y ˙_{t} = - U^{'} (Y_{t})$ with a unique stable point at the origin. We perturb the system by the Lévy noise of inte…