Barriers, exit time and survival probability for unimodal Lévy processes

Krzysztof Bogdan; Tomasz Grzywny; Michał Ryznar

Journal ArticleOPEN ACCESS

Barriers, exit time and survival probability for unimodal Lévy processes

Bogdan K
Grzywny T
Ryznar M

Probability Theory and Related Fields (2015) 162(1-2) 155-198

DOI: 10.1007/s00440-014-0568-6

38Citations

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Abstract

We give superharmonic functions and derive sharp bounds for the expected exit time and probability of survival for isotropic unimodal Lévy processes in smooth domains.

Author supplied keywords

First exit time
Lévy measure
Lévy–Khintchine exponent
Superharmonic function
Survival probability
Unimodal isotropic Lévy process

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CITATION STYLE

APA

Bogdan, K., Grzywny, T., & Ryznar, M. (2015). Barriers, exit time and survival probability for unimodal Lévy processes. Probability Theory and Related Fields, 162(1–2), 155–198. https://doi.org/10.1007/s00440-014-0568-6

Barriers, exit time and survival probability for unimodal Lévy processes

Abstract

Author supplied keywords

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