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

الأصل · EN

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