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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…
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Keywords:
threshold exceedance;
process failure;
exceedance dense;
failure observe ... See more keywords