Stability and attraction to normality for Lévy processes at zero and at infinity
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Publication:1866065
DOI10.1023/A:1016228101053zbMath1015.60043MaRDI QIDQ1866065
Ross A. Maller, Ronald Arthur Doney
Publication date: 3 April 2003
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
Related Items (41)
Stability of the overshoot for Lévy processes ⋮ Tightness and convergence of trimmed Lévy processes to normality at small times ⋮ Stochastic bounds for Lévy processes. ⋮ Passage time and fluctuation calculations for subexponential Lévy processes ⋮ Stability of the exit time for Lévy processes ⋮ Domains of attraction to Tweedie distributions ⋮ On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance ⋮ On a small-time limit behavior of the probability that a Lévy process stays positive ⋮ Zooming in on a Lévy process at its supremum ⋮ Self-standardized central limit theorems for trimmed Lévy processes ⋮ Intermittency in the small-time behavior of Lévy processes ⋮ Stationary solutions of the stochastic differential equation \(dV_t = V_t -dU_t + dL_t\) with Lévy noise ⋮ On the low intensity bootstrap for triangular arrays of independent identically distributed random variables ⋮ Short-time behavior of solutions to Lévy-driven stochastic differential equations ⋮ Small and large time stability of the time taken for a Lévy process to cross curved boundaries ⋮ Zooming-in on a Lévy process: failure to observe threshold exceedance over a dense grid ⋮ A simple condition for the multivariate CLT and the attraction to the Gaussian of Lévy processes at long and short times ⋮ Small-time compactness and convergence behavior of deterministically and self-normalised Lévy processes ⋮ Convergence of trimmed Lévy processes to trimmed stable random variables at 0 ⋮ On the limiting behaviour of Lévy processes at zero ⋮ Passage of Lévy processes across power law boundaries at small times ⋮ Branching processes in a Lévy random environment ⋮ Limit theorems for free Lévy processes ⋮ Ruin probabilities for competing claim processes ⋮ Ruin probabilities and overshoots for general Lévy insurance risk processes ⋮ Convex rearrangements of Lévy processes ⋮ Conditions for certain ruin for the generalised Ornstein-Uhlenbeck process and the structure of the upper and lower bounds ⋮ Drift to infinity and the strong law for subordinated random walks and Lévy processes ⋮ Small-Maturity Asymptotics for the At-The-Money Implied Volatility Slope in Lévy Models ⋮ 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 ⋮ The stationarity of multidimensional generalized Ornstein-Uhlenbeck processes ⋮ Small time central limit theorems for semimartingales with applications ⋮ Laws of the iterated logarithm for self-normalised Lévy processes at zero ⋮ A lifetime of excursions through random walks and Lévy processes ⋮ On multivariate quasi-infinitely divisible distributions ⋮ Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes ⋮ Passage times of random walks and Lévy processes across power law boundaries ⋮ Finiteness of integrals of functions of Lévy processes ⋮ Windings of Planar Stable Processes ⋮ On the Range of Exponential Functionals of Lévy Processes
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