Intermittency in the small-time behavior of Lévy processes

DOI10.1016/J.SPL.2022.109507MaRDI QIDQ2670792zbMATH OpenOpenAlexFDO

Authors Danijel Grahovac

Publication date 1 June 2022

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1912.03977

zbMATH Keywords

absolute momentsintermittencyLévy processessmall-time limit theorems

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Processes with independent increments; Lévy processes (60G51)

Abstract: In this paper we consider convergence of moments in the small-time limit theorems for L'evy processes. We provide precise asymptotics for all the absolute moments of positive order. The convergence of moments in limit theorems holds typically only up to some critical moment order and higher order moments decay at different rate. Such behavior is known as intermittency and has been encountered in some limit theorems.

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Cited in

(6)

• Intermittency of trawl processes
• Intermittency in an interacting generalization of the geometric Brownian motion model
• Intermittency and multiscaling in limit theorems
• Intermittency phenomena for mass distributions of stochastic flows with interaction
• Small and large scale asymptotics of some Lévy stochastic integrals
• Small-time moment asymptotics for Lévy processes

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