{
  "id": "1409.3154",
  "version": "v1",
  "published": "2014-09-10T17:10:26.000Z",
  "updated": "2014-09-10T17:10:26.000Z",
  "title": "Exponential moments of first passage times and related quantities for Lévy processes",
  "authors": [
    "Frank Aurzada",
    "Alexander Iksanov",
    "Matthias Meiners"
  ],
  "comment": "21 pages, submitted",
  "categories": [
    "math.PR"
  ],
  "abstract": "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 $r \\to \\infty$.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2014-09-10T17:10:26.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "first passage time",
      "exponential moments",
      "lévy processes",
      "related quantities",
      "complete criteria"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 21,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2014arXiv1409.3154A"
    }
  }
}