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arxiv: 1409.3154 · v1 · pith:OQP3QNUAnew · submitted 2014-09-10 · 🧮 math.PR

Exponential moments of first passage times and related quantities for L\'evy processes

classification 🧮 math.PR
keywords inftytimeexponentialfirstintervalmomentspassagequantities
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For a L\'evy process on the real line, we provide complete criteria for the finiteness of exponential moments of the first passage time into the interval $(r,\infty)$, the sojourn time in the interval $(-\infty,r]$, and the last exit time from $(-\infty,r]$. Moreover, whenever these quantities are finite, we derive their respective asymptotic behavior as $r \to \infty$.

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