Zooming-in on a Lévy process: failure to observe threshold exceedance over a dense grid
Sign Up to like & getrecommendations! Published in 2020 at "Electronic Journal of Probability"
DOI: 10.1214/20-ejp513
Abstract: For a Levy process $X$ on a finite time interval consider the probability that it exceeds some fixed threshold $x>0$ while staying below $x$ at the points of a regular grid. We establish exact asymptotic… read more here.
Keywords: threshold exceedance; process failure; exceedance dense; failure observe ... See more keywords