Document Type

Article

Date

10-13-2011

Embargo Period

11-18-2011

Disciplines

Mathematics

Description/Abstract

This paper is concerned with the small time behaviour of a Levy process X. In particular, we investigate the stabilities of the times, Tb(r) and T*b (r), at which X, started with X0 = 0, first leaves the space-time regions {(t, y) in R2 : y ≤ rtb, t ≥ 0} (one-sided exit), or {(t, y) in R2 :|y| ≤ rtb, t ≥ 0} (two-sided exit), 0 ≤ b < 1, as r ↓ 0. Thus essentially we determine whether or not these passage times behave like deterministic functions in the sense of different modes of convergence; specifically convergence in probability, almost surely and in Lp. In many instances these are seen to be equivalent to relative stability of the process X itself. The analogous large time problem is also discussed.

Additional Information

This manuscript is from arXiv.org, for more information see http://arxiv.org/abs/1110.3064

Source

Harvested from arXiv.org

Creative Commons License

Creative Commons Attribution 3.0 License
This work is licensed under a Creative Commons Attribution 3.0 License.

Included in

Mathematics Commons

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