Upper functions for sample paths of Lévy(-type) processes

Publikation: Beitrag in FachzeitschriftForschungsartikelBeigetragenBegutachtung

Beitragende

Abstract

We study the small-time asymptotics of sample paths of Lévy processes and Lévy-type processes. Namely, we investigate under which conditions the limit [formula presented] is finite resp. infinite with probability 1. We establish integral criteria in terms of the infinitesimal characteristics and the symbol of the process. Our results apply to a wide class of processes, including solutions to Lévy-driven SDEs and stable-like processes. For the particular case of Lévy processes, we recover and extend earlier results from the literature. Moreover, we present a new maximal inequality for Lévy-type processes, which is of independent interest.

Details

OriginalspracheEnglisch
Seiten (von - bis)2874-2908
Seitenumfang35
FachzeitschriftBernoulli
Jahrgang28
Ausgabenummer4
PublikationsstatusVeröffentlicht - Nov. 2022
Peer-Review-StatusJa

Schlagworte

ASJC Scopus Sachgebiete

Schlagwörter

  • Feller process, Lévy process, martingale problem, maximal inequality, sample path behaviour, small-time asymptotics, upper function