This paper is concerned with the small time behaviour of a L\'{ e}vy process $X$. In particular, we investigate the { \it stabilities} of the times, $\Tstarb(r)$ and $\Tbarb(r)$, at which $X$, started with $X_0=0$, first leaves the space-time regions $\{ (t,y)\in\R^2: y\le rt^b, t\ge 0\}$ (one-sided exit), or $\{ (t,y)\in\R^2: |y|\le rt^b, t\ge 0\}$ (two-sided exit), $0\le b<1$, as $r\dto 0$. Thus essentially we determine whether or not these passage times behave like deterministic functions in the sense of different modes of convergence; specifically convergence in probability, almost surely and in $L^p$. In many instances these are seen to be equivalent to relative stability of the process $X$ itself. The analogous large time problem is also discussed.
Categories: math.PR