Nondecreasing Continuous Semi-Markov Processes: Asymptotics and Asymmetry
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The authors consider a nondecreasing continuous random process for which a family of the first hitting times for levels x > 0 forms a Lévy process with positive increments. For a class of such processes with Lévy density e −u/u α, 1 ≤ α < 2, asymptotics of the first three moments of their one-dimensional distributions as t goes to infinity are derived. Bibliography: 8 titles.
KeywordsAsymptotic Formula Sample Path Wiener Process Laplace Transformation Central Moment
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