First passage times for random walks and Levy processes

First passage times for random walks and Levy processes

Mon, 28/02/2011
14:15 		Ron Doney Stochastic Analysis Seminar Add to calendar Eagle House
First passage times for random walks and Levy processes
The behaviour of the tail of the distribution of the first passage time over a fixed level has been known for many years, but until recently little was known about the behaviour of the probability mass function or density function. In this talk we describe recent results of Vatutin and Wachtel, Doney, and Doney and Rivero which give such information whenever the random walk or Levy process is asymptotically stable.