Barriers, exit time and survival probability for unimodal Lévy processes

By Krzysztof Bogdan, T. Grzywny, M. Ryznar. 2013

67 citations recorded by the source corpus.

We give superharmonic functions and derive sharp bounds for the expected exit time and probability of survival for isotropic unimodal Lévy processes in smooth domains.

Subfields: Finance, Management Science and Operations Research, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/cf373d7ca900f400d456b6fa011a42e74b82010f

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Xavier Ros-Oton
2. Krzysztof Bogdan
3. M. Ryznar
4. T. Grzywny
5. Renming Song
6. Panki Kim
7. Tadeusz Kulczycki
8. Paweł Sztonyk

In Management Science and Operations Research

1. Xavier Ros-Oton
2. M. Ryznar
3. Krzysztof Bogdan
4. T. Grzywny

In Mathematical Physics

1. M. Ryznar
2. Xavier Ros-Oton
3. T. Grzywny
4. Krzysztof Bogdan
5. Tomasz Jakubowski
6. Paweł Sztonyk
7. Renming Song
8. Zhen-Qing Chen

Citations in the corpus

• Nonlocal elliptic equations in bounded domains: a survey (2015, methodology): “…solutions: Bass-Levin [6], Kassmann [33], CaffarelliSilvestre [13, 14, 15], Barles-Chasseigne-Imbert [5], Kassmann-Mimica [34, 35], Schwab-Silvestre [51], and Serra [55]; • Boundary regularity of solutions: Bogdan [8], the author and Serra [45, 46, 47], Grubb [29, 30], Chen-Song [16],…”
• Dirichlet heat kernel for unimodal Lévy processes (2014, background): “1 sets and halfspace-like sets. For clarity, the global scaling conditions imply the scale boundary Harnack inequality ([32] and [9, Corollary 27]), so short time estimates would follow from [17] and [8], if we also assumed continuity of the L´evy density. We finally suggest a possible generalization”