Curve Crossing for the Reflected Levy Process at Zero and Infinity
Mladen Svetoslavov Savov, The University of Manchester
Abstract
Let Rt be a Levy process reflected in its maximum. We give
necessary and sufficient conditions for finiteness of passage times above power
law boundaries at infinity. Information as to when the expected passage time for
Rt is finite, is given. We also discuss the almost sure finiteness of
limsup
Rt/tk, for each k>=0.
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