On the small-time behaviour of Lévy-type processes

Publikation: Beitrag in FachzeitschriftForschungsartikelBeigetragenBegutachtung

Beitragende

Abstract

We show some Chung-type lim inf law of the iterated logarithm results at zero for a class of (pure-jump) Feller or Lévy-type processes. This class includes all Lévy processes. The norming function is given in terms of the symbol of the infinitesimal generator of the process. In the Lévy case, the symbol coincides with the characteristic exponent.

Details

OriginalspracheEnglisch
Seiten (von - bis)2249-2265
Seitenumfang17
FachzeitschriftStochastic processes and their applications
Jahrgang124
Ausgabenummer6
PublikationsstatusVeröffentlicht - Juni 2014
Peer-Review-StatusJa

Schlagworte

Schlagwörter

  • Feller process, Law of the iterated logarithm, Lévy process, Lévy-type process, Pseudo differential operator, Small-time asymptotic, Stochastic differential equation, Symbol