Large Deviations for Clocks of Self-similar Processes

DOI10.1007/978-3-319-18585-9_19MaRDI QIDQ2798590zbMATH OpenOpenAlexFDO

Authors Alain Rouault, Marguerite Zani, Nizar Demni

Publication date 13 April 2016

Published in Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1411.5543

zbMATH Keywords

clocksLévy processself-similar processes

Mathematics Subject Classification ID

Large deviations (60F10) Self-similar stochastic processes (60G18) Processes with independent increments; Lévy processes (60G51)

Abstract: The Lamperti correspondence gives a prominent role to two random time changes: the exponential functional of a L'evy process drifting to $infty$ and its inverse, the clock of the corresponding positive self-similar process. We describe here asymptotical properties of these clocks in large time, extending the results of Yor and Zani.

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Cited in

(2)

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