The integrated stable-process first-passage tail conjecture

Let ZZ be a Lévy stable process, let ρ\rho be its positivity parameter, and suppose that Z|Z| is not a subordinator. Define

At=0tZsds,A_t=\int_0^t Z_s\,\mathrm{d}s,

with first-passage time

T=inf{t>0:At=1}.T=\inf\{t>0:A_t=1\}.

Integrated stable-process tail conjecture. One has

P[T>t]=tρ/2+o(1),t+.\mathbb{P}[T>t]=t^{-\rho/2+o(1)},\qquad t\to+\infty.

This conjecture is motivated by the corresponding ruin-probability asymptotics for ZZ. The source marks it as resolved: the case with no negative jumps, α>1\alpha>1 and ρ=(α1)/α\rho=(\alpha-1)/\alpha, was proved in the cited work, with sufficient control of the error term to imply the stated moment divergence.

Sources & referencesView supporting material

Primary source

Thomas Simon, “On the Hausdorff dimension of regular points of inviscid Burgers equation with stable initial data”, arXiv:math/0702260 (2007).

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