THE FIRST EXIT TIME OF SOME SELF DECOMPOSABLE PROCESSES

Shantanu Awasthi 

 Department of Mathematics, North Dakota State University

Advisor: Dr. Indranil SenGupta

Abstract: In this presentation, the first exit time of some self-decomposable processes will be considered. The one-dimensional distribution functions of the processes will be presented. Tail probability, Infinite divisibility along with n-th order moments will be computed. The subordination of this process to the Brownian motion will be considered and the PDE of the subordinated process will be obtained.