Hitting probabilities for Lévy processes on the real line

2019/11/12 by Grzywny, Tomasz, Leżaj, Łukasz, Miśta, Maciej
#60G51 #60J45 #60J50 #60J75 #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1911.05149

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 \[ ∫₀^∞ (dξ)/(1+Re ψ(ξ))

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