On the small-time behaviour of Lévy-type processes
Publikation: Beitrag in Fachzeitschrift › Forschungsartikel › Beigetragen › Begutachtung
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
Originalsprache | Englisch |
---|---|
Seiten (von - bis) | 2249-2265 |
Seitenumfang | 17 |
Fachzeitschrift | Stochastic processes and their applications |
Jahrgang | 124 |
Ausgabenummer | 6 |
Publikationsstatus | Veröffentlicht - Juni 2014 |
Peer-Review-Status | Ja |
Schlagworte
ASJC Scopus Sachgebiete
Schlagwörter
- Feller process, Law of the iterated logarithm, Lévy process, Lévy-type process, Pseudo differential operator, Small-time asymptotic, Stochastic differential equation, Symbol