Chang-Han Rhee

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20242026

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math.PR2026

First-Exit Time Analysis for Truncated Heavy-Tailed Dynamical Systems

Xingyu Wang, Chang-Han Rhee

In this paper, we study the first-exit time of stochastic difference equation $X^{I^} \cdot_{j + 1} (x) = X^{I^} \cdot_{j} (x) + I^\cdot a (X^{I^} \cdot_{j} (x)) + I^\cdot I ¨ (X^{I^} \cdot_{j} (x)) Z_{j + 1}$ and its…

math.PR2024

Zhe Su, Chang-Han Rhee

The large deviations theory for heavy-tailed processes has seen significant advances in the recent past. In particular, Rhee et al. (2019) and Bazhba et al. (2020) established larg…

First-Exit Time Analysis for Truncated Heavy-Tailed Dynamical Systems

Sample-Path Large Deviations for LÃ©vy Processes and Random Walks with Lognormal Increments