Articles with "threshold exceedance" as a keyword



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Zooming-in on a Lévy process: failure to observe threshold exceedance over a dense grid

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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… read more here.

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