Cramér asymptotics for finite time first passage probabilities of general Lévy processes

We derive the exact asymptotics of P(supu<=tX(u)>x) if x and t tend to infinity with x/t constant, for a general Lévy process X that admits exponential moments. The proof is based on a renewal argument and a two-dimensional renewal theorem of Höglund [Höglund, T., 1990. An asymptotic expression for the probability of ruin within finite time. Ann. Prob., 18, 378-389].

MoreLess

Year of publication:	2009
Authors:	Palmowski, Zbigniew ; Pistorius, Martijn
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 79.2009, 16, p. 1752-1758
Publisher:	Elsevier

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005023108