On tails of exit times of multidimensional Lévy processes

2018/09/17 by Rafał Marcin Łochowski, Łochowski, Rafał Marcin
Mathematics · Economics, Econometrics and Finance · #Stochastic processes and statistical mechanics #Stochastic processes and financial applications #Mathematical Dynamics and Fractals

paper · pdf · doi:10.48550/arxiv.1809.06037

Abstract

Using a very simple argument based on the indepenence of increments and the fact that in a finite dimensional space R^d there are not too many directions, we derive a theorem stating that exit time of any (non-constant) Lévy process on R^d from a ball has exponentially light tails.

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