On the asymptotic behaviour of increasing positive self-similar Markov processes

arXiv0711.1834MaRDI QIDQ6207464FDOQ6207464

M. Emilia Caballero, Víctor Manuel Rivero

Publication date: 12 November 2007

Abstract: We are interested by the rate of growth of increasing positive self-similar Markov processes (ipssMp) such that the subordinator associated to it via Lamperti's transformation has infinite mean. We prove that the logarithm of an ipssMp normalized by the logarithm of the time converges weakly, as the time tends to infinity, if and only if the Laplace exponent of the underlying subordinator is regularly varying at zero. Moreover, we prove that the regular variation at zero of the Laplace exponent is essentially nasc for the existence of a function that normalizes the logarithm of an ipssMp. We obtain a law of iterated logarithm for the liminf of the logarithm of an ipssMp and an integral test to study the upper envelope of it. Furthermore, results concerning the rate of growth of the random clock appearing in Lamperti's transformation are obtained.

Mathematics Subject Classification ID

Sample path properties (60G17) Self-similar stochastic processes (60G18)

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