On the small-time behavior of subordinators (Q442077): Difference between revisions
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The authors examine the behavior of a random process \((Y_t)_{t>0}\) with positive values near \(t=0\). And, in order to more accurately describe the objectives and results of their work, they mention the following consideration of a previous work of the first author. Proposition. Let \(F_t(y)=\operatorname{P}(Y_t\leq y)\), \(\psi_t(u)=\operatorname{E}(e^{-uY_t})\) and \(\overset{d}{\longrightarrow}\) denote convergence in distribution. Let also be assumed that \(F_t(0)=0\) for all \(t\) and \(Y^*\) be a random vector with distribution function \(F^*\) which is not concentrated at one point. Then \(Y_t^{-t}\overset{d}{\longrightarrow}Y^*\) as \(t\to 0\) if and only if \(\psi_t(u^{1/t})\to 1-F^*(u)\) as \(t\to 0\) at all continuity points \(u\) of \(F^{*}\). In the light of this result, it is possible to say that, in this paper, the authors study the case when \(\psi_t(u)=\psi(u)^t\) for some Laplace-Stieltjes transform \(\psi\). This means that \(F\) is infinitely divisible, and the \((0,\infty)-\)valued process \((Y_t)_{t>0}\) (with \(Y_0\equiv 0\)) can then be interpreted as a subordinator (real-valued Levy process with nondecreasing sample paths) with Laplace exponent \(\Phi(u)\) in \(\psi_t(u)=e^{-t\Phi(u)}\). As for the results, we can note three things. First, in another study by the same authors, it was proved that, for a subclass of exponential dispersion models generated by an infinitely divisible probability measure \(\mu\) on \([0,\infty)\) and associated with an unbounded Levy measure \(\nu\) satisfying \(\nu((x,\infty))\sim -\gamma \log x\) as \(x\to 0\), the limit \(F^*\) is a Pareto-type law supported on \([1,\infty)\). The main result here shows that this is indeed the only limit law that can occur for any subordinator. Second, they give several necessary and sufficient conditions for this convergence to occur. Third, the results presented in this paper enable an approximation of the distribution of \(Y_t\) for relatively small values of \(t\). The useful effect of this is that, while the distribution of \(Y_t\) can be quite complex, the specific limiting Pareto law is rather simple to handle. | |||
Property / review text: The authors examine the behavior of a random process \((Y_t)_{t>0}\) with positive values near \(t=0\). And, in order to more accurately describe the objectives and results of their work, they mention the following consideration of a previous work of the first author. Proposition. Let \(F_t(y)=\operatorname{P}(Y_t\leq y)\), \(\psi_t(u)=\operatorname{E}(e^{-uY_t})\) and \(\overset{d}{\longrightarrow}\) denote convergence in distribution. Let also be assumed that \(F_t(0)=0\) for all \(t\) and \(Y^*\) be a random vector with distribution function \(F^*\) which is not concentrated at one point. Then \(Y_t^{-t}\overset{d}{\longrightarrow}Y^*\) as \(t\to 0\) if and only if \(\psi_t(u^{1/t})\to 1-F^*(u)\) as \(t\to 0\) at all continuity points \(u\) of \(F^{*}\). In the light of this result, it is possible to say that, in this paper, the authors study the case when \(\psi_t(u)=\psi(u)^t\) for some Laplace-Stieltjes transform \(\psi\). This means that \(F\) is infinitely divisible, and the \((0,\infty)-\)valued process \((Y_t)_{t>0}\) (with \(Y_0\equiv 0\)) can then be interpreted as a subordinator (real-valued Levy process with nondecreasing sample paths) with Laplace exponent \(\Phi(u)\) in \(\psi_t(u)=e^{-t\Phi(u)}\). As for the results, we can note three things. First, in another study by the same authors, it was proved that, for a subclass of exponential dispersion models generated by an infinitely divisible probability measure \(\mu\) on \([0,\infty)\) and associated with an unbounded Levy measure \(\nu\) satisfying \(\nu((x,\infty))\sim -\gamma \log x\) as \(x\to 0\), the limit \(F^*\) is a Pareto-type law supported on \([1,\infty)\). The main result here shows that this is indeed the only limit law that can occur for any subordinator. Second, they give several necessary and sufficient conditions for this convergence to occur. Third, the results presented in this paper enable an approximation of the distribution of \(Y_t\) for relatively small values of \(t\). The useful effect of this is that, while the distribution of \(Y_t\) can be quite complex, the specific limiting Pareto law is rather simple to handle. / rank | |||
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Property / reviewed by | |||
Property / reviewed by: Serguey Victorovich Zhulenev / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60G51 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60F05 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60E05 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6064464 / rank | |||
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Property / zbMATH Keywords | |||
Pareto law | |||
Property / zbMATH Keywords: Pareto law / rank | |||
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regular variation | |||
Property / zbMATH Keywords: regular variation / rank | |||
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subordinator | |||
Property / zbMATH Keywords: subordinator / rank | |||
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Property / zbMATH Keywords | |||
weak limit theorem | |||
Property / zbMATH Keywords: weak limit theorem / rank | |||
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Revision as of 02:17, 30 June 2023
scientific article
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English | On the small-time behavior of subordinators |
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Statements
On the small-time behavior of subordinators (English)
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9 August 2012
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The authors examine the behavior of a random process \((Y_t)_{t>0}\) with positive values near \(t=0\). And, in order to more accurately describe the objectives and results of their work, they mention the following consideration of a previous work of the first author. Proposition. Let \(F_t(y)=\operatorname{P}(Y_t\leq y)\), \(\psi_t(u)=\operatorname{E}(e^{-uY_t})\) and \(\overset{d}{\longrightarrow}\) denote convergence in distribution. Let also be assumed that \(F_t(0)=0\) for all \(t\) and \(Y^*\) be a random vector with distribution function \(F^*\) which is not concentrated at one point. Then \(Y_t^{-t}\overset{d}{\longrightarrow}Y^*\) as \(t\to 0\) if and only if \(\psi_t(u^{1/t})\to 1-F^*(u)\) as \(t\to 0\) at all continuity points \(u\) of \(F^{*}\). In the light of this result, it is possible to say that, in this paper, the authors study the case when \(\psi_t(u)=\psi(u)^t\) for some Laplace-Stieltjes transform \(\psi\). This means that \(F\) is infinitely divisible, and the \((0,\infty)-\)valued process \((Y_t)_{t>0}\) (with \(Y_0\equiv 0\)) can then be interpreted as a subordinator (real-valued Levy process with nondecreasing sample paths) with Laplace exponent \(\Phi(u)\) in \(\psi_t(u)=e^{-t\Phi(u)}\). As for the results, we can note three things. First, in another study by the same authors, it was proved that, for a subclass of exponential dispersion models generated by an infinitely divisible probability measure \(\mu\) on \([0,\infty)\) and associated with an unbounded Levy measure \(\nu\) satisfying \(\nu((x,\infty))\sim -\gamma \log x\) as \(x\to 0\), the limit \(F^*\) is a Pareto-type law supported on \([1,\infty)\). The main result here shows that this is indeed the only limit law that can occur for any subordinator. Second, they give several necessary and sufficient conditions for this convergence to occur. Third, the results presented in this paper enable an approximation of the distribution of \(Y_t\) for relatively small values of \(t\). The useful effect of this is that, while the distribution of \(Y_t\) can be quite complex, the specific limiting Pareto law is rather simple to handle.
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Pareto law
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regular variation
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subordinator
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weak limit theorem
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