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 Electronic Journal of Probability > Vol. 13 (2008) > Paper 7 open journal systems 


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.


Full text: PDF

Pages: 157-172

Published on: January 30, 2008
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Electronic Journal of Probability. ISSN: 1083-6489