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math.PR2005
Levy processes: Hitting time, overshoot and undershoot II - Asymptotic behaviour
Bernard Roynette, Pierre Vallois, Agnes Volpi
Let (X_t, t>=0) be a Levy process started at 0, with Levy measure nu and T_x the first hitting time of level x>0: T_x:=inf{t>=0; X_t>x}. Let $F(theta, mu, rho,.) be the joint Lapla…
math.PR2005
Levy Processes: Hitting time, overshoot and undershoot - part I: Functional equations
Bernard Roynette, Pierre Vallois, Agnes Volpi
Let (X_t, t >=0) be a Levy process started at 0, with Levy measure nu, and T_x the first hitting time of level x>0: T_x := inf{t>=0; X_t>x}. Let F(theta,mu,rho,.) be the joint Lapl…