Kwaśnicki, Mateusz; Małecki, Jacek; Ryznar, Michał - In: Stochastic Processes and their Applications 123 (2013) 5, pp. 1820-1850
Let Xt be a subordinate Brownian motion, and suppose that the Lévy measure of the underlying subordinator has a completely monotone density. Under very mild conditions, we find integral formulae for the tail distribution P(τxt) of first passage times τx through a barrier at x0, and its...