Upper functions for sample paths of Lévy(-type) processes
Research output: Contribution to journal › Research article › Contributed › peer-review
Contributors
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
Original language | English |
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Pages (from-to) | 2874-2908 |
Number of pages | 35 |
Journal | Bernoulli |
Volume | 28 |
Issue number | 4 |
Publication status | Published - Nov 2022 |
Peer-reviewed | Yes |
Keywords
ASJC Scopus subject areas
Keywords
- Feller process, Lévy process, martingale problem, maximal inequality, sample path behaviour, small-time asymptotics, upper function