### Abstract

Original language | English |
---|---|

Pages (from-to) | 522-564 |

Number of pages | 43 |

Journal | Annals of Applied Probability |

Volume | 20 |

Issue number | 2 |

DOIs | |

Publication status | Published - Apr 2010 |

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### Keywords

- last passage time
- undershoot
- conditioned Levy process
- n-tuple laws
- Levy process
- fluctuation theory
- overshoot
- first passage time

### Cite this

*n*-tuple laws at first and last passage.

*Annals of Applied Probability*,

*20*(2), 522-564. https://doi.org/10.1214/09-aap626

**Exact and asymptotic n-tuple laws at first and last passage.** / Kyprianou, Andreas E; Pardo, J C; Rivero, V.

Research output: Contribution to journal › Article

*n*-tuple laws at first and last passage',

*Annals of Applied Probability*, vol. 20, no. 2, pp. 522-564. https://doi.org/10.1214/09-aap626

*n*-tuple laws at first and last passage. Annals of Applied Probability. 2010 Apr;20(2):522-564. https://doi.org/10.1214/09-aap626

}

TY - JOUR

T1 - Exact and asymptotic n-tuple laws at first and last passage

AU - Kyprianou, Andreas E

AU - Pardo, J C

AU - Rivero, V

PY - 2010/4

Y1 - 2010/4

N2 - Understanding the space time features of how a Levy process crosses a constant barrier for the first time, and indeed the last time, is a problem which is central to many models in applied probability such as queueing theory, financial and actuarial mathematics, optimal stopping problems, the theory of branching processes, to name but a few. In Doney and Kyprianou [Ann. Appl. Probab. 16 (2006) 91-106] a new quintuple law was established for a general Levy process at first passage below a fixed level. In this article we use the quintuple law to establish a family of related joint laws, which we call n-tuple laws, for Levy processes, Levy processes conditioned to stay positive and positive self-similar Markov processes at both first and last passage over a fixed level. Here the integer n typically ranges from three to seven. Moreover, we look at asymptotic overshoot and undershoot distributions and relate them to overshoot and undershoot distributions of positive self-similar Markov processes issued from the origin. Although the relation between the n-tuple laws for Levy processes and positive self-similar Markov processes are straightforward thanks to the Lamperti transformation, by interplaying the role of a (conditioned) stable processes as both a (conditioned) Levy processes and a positive self-similar Markov processes, we obtain a suite of completely explicit first and last passage identities for so-called Lamperti-stable Levy processes. This leads further to the introduction of a more general family of Levy processes which we call hypergeometric Levy processes, for which similar explicit identities may be considered.

AB - Understanding the space time features of how a Levy process crosses a constant barrier for the first time, and indeed the last time, is a problem which is central to many models in applied probability such as queueing theory, financial and actuarial mathematics, optimal stopping problems, the theory of branching processes, to name but a few. In Doney and Kyprianou [Ann. Appl. Probab. 16 (2006) 91-106] a new quintuple law was established for a general Levy process at first passage below a fixed level. In this article we use the quintuple law to establish a family of related joint laws, which we call n-tuple laws, for Levy processes, Levy processes conditioned to stay positive and positive self-similar Markov processes at both first and last passage over a fixed level. Here the integer n typically ranges from three to seven. Moreover, we look at asymptotic overshoot and undershoot distributions and relate them to overshoot and undershoot distributions of positive self-similar Markov processes issued from the origin. Although the relation between the n-tuple laws for Levy processes and positive self-similar Markov processes are straightforward thanks to the Lamperti transformation, by interplaying the role of a (conditioned) stable processes as both a (conditioned) Levy processes and a positive self-similar Markov processes, we obtain a suite of completely explicit first and last passage identities for so-called Lamperti-stable Levy processes. This leads further to the introduction of a more general family of Levy processes which we call hypergeometric Levy processes, for which similar explicit identities may be considered.

KW - last passage time

KW - undershoot

KW - conditioned Levy process

KW - n-tuple laws

KW - Levy process

KW - fluctuation theory

KW - overshoot

KW - first passage time

UR - http://www.scopus.com/inward/record.url?scp=77949724533&partnerID=8YFLogxK

UR - http://dx.doi.org/10.1214/09-aap626

U2 - 10.1214/09-aap626

DO - 10.1214/09-aap626

M3 - Article

VL - 20

SP - 522

EP - 564

JO - Annals of Applied Probability

JF - Annals of Applied Probability

SN - 1050-5164

IS - 2

ER -