Small-time behaviour of {L}évy processes
It is proved that, for the Lévy process \(X=\{X_{t},t\geq 0\}\) without the Gaussian component and with spectral measure \(\Pi\) such that \(\Pi(R)=\infty\) and \(\Pi(-\infty,0)>0\), the following statements are equivalent: \[ P(X_{t}>0)\to 1\text{ as }t\downarrow 0;\tag{1} \] \[ X_t/\Delta_t^{(1)}\to \infty\text{ in probability as }t\downarrow0; \tag{2} \] for some deterministic function \(d\) which decreases to \(0\) and is regularly varying of index 1 at 0, \[ X_t/d(t)\to \infty\text{ in probability as }t\downarrow0;\tag{3} \] and \[ A(x)/\sqrt {U(x)M(x)}\to\infty\text{ as }x\downarrow0.\tag{4} \] Here \(M(x)=\Pi(-\infty,-x), x>0\), \(\Delta_{t}^{(1)}\) is the magnitude of the largest negative jump process \((\Delta_s,s>0)\) of \(X\) as \(s\leq t\). \(A(x)\) and \(U(x)\) are certain functions of the tail difference or tail sum of the measure \(\Pi\), respectively.
- Small time one-sided LIL behavior for Lévy processes at zero
- On the limiting behaviour of Lévy processes at zero
- Passage of Lévy processes across power law boundaries at small times
- On a small-time limit behavior of the probability that a Lévy process stays positive
- Small time almost sure comparisons between a Lévy process and its maximal jump processes
- Probability measures, Lévy measures and analyticity in time
- Small deviations of general Lévy processes
- Small time expansions for transition probabilities of some Lévy processes
- On the local rate of growth of Lévy processes with no positive jumps
- Expansion of transition distributions of Lévy processes in small time
- A lifetime of excursions through random walks and Lévy processes
- On multivariate quasi-infinitely divisible distributions
- Lévy processes: concentration function and heat kernel bounds
- On the limiting behaviour of Lévy processes at zero
- Windings of planar stable processes
- Small time almost sure comparisons between a Lévy process and its maximal jump processes
- On a small-time limit behavior of the probability that a Lévy process stays positive
- Finiteness of integrals of functions of Lévy processes
- Small-time versions of Strassen's law for Lévy processes
- Upper functions for lévy processes having only negative jumps
- Extensions of regularity for a Lévy process
- Convergence of trimmed Lévy processes to trimmed stable random variables at 0
- On the likelihood function of small time variance Gamma Lévy processes
- Conditions for a Lévy process to stay positive near 0, in probability
- Distributional representations and dominance of a Lévy process over its maximal jump processes
- Small-time moment asymptotics for Lévy processes
- Small time one-sided LIL behavior for Lévy processes at zero
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