Exponential moments of first passage times and related quantities for Lévy processes

Frank Aurzada, Alexander Iksanov, Matthias Meiners

Published 2014-09-10Version 1

For a L\'evy process on the real line, we provide complete criteria for the finiteness of exponential moments of the first passage time into the interval $(r,\infty)$, the sojourn time in the interval $(-\infty,r]$, and the last exit time from $(-\infty,r]$. Moreover, whenever these quantities are finite, we derive their respective asymptotic behavior as $r \to \infty$.