Asymptotic behavior of the hitting time, overshoot and undershoot for some Lévy processes

Bernard Roynette (1, 2) , Pierre P. Vallois (1, 2) , Agnès Volpi (1)

1 IECN - Institut Élie Cartan de Nancy
2 TOSCA - Simuler et calibrer des modèles stochastiques

We study the asymptotic behavior of the hitting time, overshoot and undershoot for some Lévy processes

Mots clés: Lévy processes; Ruin problem; Hitting time; Overshoot; Undershoot; Asymptotic estimates; Functional equation

Domaines: Probabilités [math.PR]

Bernard Roynette, Pierre P. Vallois, Agnès Volpi. Asymptotic behavior of the hitting time, overshoot and undershoot for some Lévy processes. ESAIM: Probability and Statistics, 2008, 12, pp.58-93. ⟨10.1051/ps:2007034⟩. ⟨hal-00141550⟩