Small deviations in \(p\)-variation for multidimensional Lévy processes (Q1890292): Difference between revisions

Let \(Z\) be an \(R^d\)-valued Lévy process with strong finite \(p\)-variation for some \(p<2\). The author proves that the ``decompensated'' process \(\widetilde Z\) obtained from \(Z\) by annihilating its generalized drift has a small deviations property in \(p\)-variations. This property means that the null function belongs to the support of the law of \(\widetilde Z\) with respect to the \(p\)-variation distance. The purpose of this paper is to prove a support theorem with respect to the \(p\)-Skorokhod distance for canonical SDE's driven by \(Z\) without any assumption on \(Z\). Moreover he also gives a criterion ensuring the small deviation property for \(Z\) itself, noticing that the characterization under the uniform distance no more holds under \(p\)-variation distance.