Large Deviations of Local Times of Lévy Processes

被引：0

作者：

Robert Blackburn

机构：

[1] IBM Corporation,

来源：

Journal of Theoretical Probability | 2000年 / 13卷

关键词：

Lévy process; local time; large deviations;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

For X(t) a real-valued symmetric Lévy process, its characteristic function is E(eiλX(t))=exp(−tψ(λ)). Assume that ψ is regularly varying at infinity with index 1<β≤2. Let Lxt denote the local time of X(t) and L*t=supx∈RLxt. Estimates are obtained for P(L0t≥y) and P(L*t≥y) as y→∞ and t fixed.

引用

页码：825 / 842

页数：17

共 7 条

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