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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