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Non-uniqueness of the first passage time density of Lévy random processes. (English) Zbl 1071.60033

The authors consider a class of random processes they call Lévy processes, with long-tailed jump lengths, but which are not simple jump processes as functions of a clock time. They derive the first passage time density (FPTD) for such processes from a subordination scheme to either a Lévy flight or a Brownian random walk. It appears that this FPTD cannot be inferred uniquely from the probability density functions governing the random processes considered.

MSC:

60G51 Processes with independent increments; Lévy processes
60J25 Continuous-time Markov processes on general state spaces

Keywords:

Lévy process
Full Text: DOI