The First Passage Time Problem Over a Moving Boundary for Asymptotically Stable Lévy Processes
| Autor: | Tanja Kramm, Frank Aurzada |
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| Rok vydání: | 2015 |
| Předmět: |
Statistics and Probability
General Mathematics 010102 general mathematics Polynomial order Boundary (topology) 01 natural sciences Lévy process Measure (mathematics) 010104 statistics & probability Stability theory Calculus 0101 mathematics Statistics Probability and Uncertainty First-hitting-time model Left tail Constant (mathematics) Mathematical physics Mathematics |
| Zdroj: | Journal of Theoretical Probability. 29:737-760 |
| ISSN: | 1572-9230 0894-9840 |
| DOI: | 10.1007/s10959-015-0596-x |
| Popis: | We study the asymptotic tail behaviour of the first passage time over a moving boundary for asymptotically \(\alpha \)-stable Levy processes with \(\alpha |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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