Large deviations of local times of Levy processes

被引：3

作者：

Blackburn, R ^{[1
]}

机构：

[1] IBM Corp, Poughkeepsie, NY 12601 USA

来源：

JOURNAL OF THEORETICAL PROBABILITY | 2000年 / 13卷 / 03期

关键词：

Levy process; local time; large deviations;

D O I：

10.1023/A:1007866713661

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：

For X(t) a real-valued symmetric Levy process. its characteristic function is E(e(i lambda X(t))) = exp( - t psi(lambda)). Assume that psi is regularly varying at infinity with index 1 < beta less than or equal to 2. Let L-t(x) denote the local time of X(t) and L-t* = sup(x is an element of R) L-t(x). Estimates are obtained for P(L-t(0) greater than or equal to y) and P(L-t* greater than or equal to y) as y --> infinity and t fixed.

引用

页码：825 / 842

页数：18

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