Large deviations and laws of the iterated logarithm for the local times of additive stable processes

DOI10.1214/009117906000000601MaRDI QIDQ2371957zbMATH OpenOpenAlexFDO

Authors Xia Chen

Publication date 9 July 2007

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0603159

zbMATH Keywords

additive stable processlarge deviationslaw of the iterated logarithmlocal time

Mathematics Subject Classification ID

Large deviations (60F10) Strong limit theorems (60F15) Stable stochastic processes (60G52) Local time and additive functionals (60J55)

Abstract: We study the upper tail behaviors of the local times of the additive stable processes. Let $X_1(t),\mathrm{...},X_p(t)$ be independent, d-dimensional symmetric stable processes with stable index $0<alphale2$ and consider the additive stable process $$. Under the condition $d<alphap$, we obtain a precise form of the large deviation principle for the local time [eta^x([0,t]^p)=int_0^t...int_0^tdelta_x�igl(X_1(s_1)+... +X_p(s_p)�igr) ds_1... ds_p] of the multiparameter process $$, and for its supremum norm $su{p}_{xinmathbb{R}^d}et{a}^x([0,t{]}^p)$. Our results apply to the law of the iterated logarithm and our approach is based on Fourier analysis, moment computation and time exponentiation.

Review text

The main aim of this paper is to present the large deviations and the laws of the iterated logarithm for the local times of the \(d\)-dimensional symmetric and additive stable processes. In particular, the author identifies, as much as he can, the constants appearing in these limit forms. The results presented are applied to the law of the iterated logarithm and the approach is based on Fourier analysis, moment computation and time exponentiation.

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Cited in

(13)

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