Asymptotics for first-passage times of Lévy processes and random walks

Denis Denisov; Vsevolod Shneer

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arXiv · 0712.0728

Asymptotics for first-passage times of Lévy processes and random walks

Denis Denisov·Vsevolod Shneer

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Abstract

We study the exact asymptotics for the distribution of the first time $τ_x$ a Lévy process $X_t$ crosses a negative level $-x$. We prove that $\mathbf P(τ_x>t)\sim V(x)\mathbf P(X_t\ge 0)/t$ as $t\to\infty$ for a certain function $V(x)$. Using known results for the large deviations of random walks we obtain asymptotics for $\mathbf P(τ_x>t)$ explicitly in both light and heavy tailed cases. We also apply our results to find asymptotics for the distribution of the busy period in an M/G/1 queue.

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BibTeX RIS

Denis Denisov, Vsevolod Shneer. 2007-12-05. Asymptotics for first-passage times of Lévy processes and random walks. https://arxiv.org/abs/0712.0728

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