Joint law of the hitting time, overshoot and undershoot for a L\'evy process
Abstract
Let be (Xt, t≥ 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 τx at a fixed level x>0 by (Xt, t≥ 0) and Kx:= Xτx-x the overshoot and Lx:= x-Xτx- the undershoot. We first study the regularity of the density of the first passage time. Secondly, we calculate the joint law of (τx, Kx, Lx).
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