Small time two-sided LIL behavior for L,vy processes at zero

被引：13

作者：

Savov, Mladen ^{[1
]}

机构：

[1] Univ Manchester, Sch Math, Manchester M13 9PL, Lancs, England

来源：

PROBABILITY THEORY AND RELATED FIELDS | 2009年 / 144卷 / 1-2期

关键词：

Levy process; LIL behavior; Norming functions; ITERATED LOGARITHM; UNIVERSAL LAW;

D O I：

10.1007/s00440-008-0142-1

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We wish to characterize when a L,vy process X (t) crosses boundaries b(t), in a two-sided sense, for small times t, where b(t) satisfies very mild conditions. An integral test is furnished for computing the value of sup (t -> 0)|X (t) |/b(t) = c. In some cases, we also specify a function b(t) in terms of the L,vy triplet, such that sup (t -> 0) |X (t) |/b(t) = 1.

引用

页码：79 / 98

页数：20

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