Joint law of the hitting time, overshoot and undershoot for a Lévy process

Laure Coutin, Waly Ngom

Published 2016-03-08Version 1

Let be $(X_t, t\geq 0)$ be a L\'evy process which is the sum of a Brownian motion with drift and a compound Poisson process. We consider the first passage time $\tau_x$ at a fixed level $x>0$ by $(X_t, t\geq 0)$ and $K_x:= X_{\tau_x}-x$ the overshoot and $L_x:= x-X_{\tau_x^-}$ the undershoot. We first study the regularity of the density of the first passage time. Secondly, we calculate the joint law of $(\tau_x, K_x, L_x).$