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Mots-clés : Lévy processes, ruin problem, hitting time, overshoot, undershoot, asymptotic estimates, functional equation
@article{PS_2008__12__58_0, author = {Roynette, Bernard and Vallois, Pierre and Volpi, Agn\`es}, title = {Asymptotic behavior of the hitting time, overshoot and undershoot for some {L\'evy} processes}, journal = {ESAIM: Probability and Statistics}, pages = {58--93}, publisher = {EDP-Sciences}, volume = {12}, year = {2008}, doi = {10.1051/ps:2007034}, mrnumber = {2367994}, language = {en}, url = {http://www.numdam.org/articles/10.1051/ps:2007034/} }
TY - JOUR AU - Roynette, Bernard AU - Vallois, Pierre AU - Volpi, Agnès TI - Asymptotic behavior of the hitting time, overshoot and undershoot for some Lévy processes JO - ESAIM: Probability and Statistics PY - 2008 SP - 58 EP - 93 VL - 12 PB - EDP-Sciences UR - http://www.numdam.org/articles/10.1051/ps:2007034/ DO - 10.1051/ps:2007034 LA - en ID - PS_2008__12__58_0 ER -
%0 Journal Article %A Roynette, Bernard %A Vallois, Pierre %A Volpi, Agnès %T Asymptotic behavior of the hitting time, overshoot and undershoot for some Lévy processes %J ESAIM: Probability and Statistics %D 2008 %P 58-93 %V 12 %I EDP-Sciences %U http://www.numdam.org/articles/10.1051/ps:2007034/ %R 10.1051/ps:2007034 %G en %F PS_2008__12__58_0
Roynette, Bernard; Vallois, Pierre; Volpi, Agnès. Asymptotic behavior of the hitting time, overshoot and undershoot for some Lévy processes. ESAIM: Probability and Statistics, Tome 12 (2008), pp. 58-93. doi : 10.1051/ps:2007034. http://www.numdam.org/articles/10.1051/ps:2007034/
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