Sinaıˇ's condition for real valued Lévy processes
نویسندگان
چکیده
منابع مشابه
Stochastic Bounds for Lévy Processes
Using the Wiener–Hopf factorization, it is shown that it is possible to bound the path of an arbitrary Lévy process above and below by the paths of two random walks. These walks have the same step distribution, but different random starting points. In principle, this allows one to deduce Lévy process versions of many known results about the large-time behavior of random walks. This is illustrat...
متن کاملBasics of Lévy Processes *
This is a draft Chapter from a book by the authors on “Lévy Driven Volatility Models”.
متن کاملNonlinear stochastic integrals for hyperfinite Lévy processes
We develop a notion of nonlinear stochastic integrals for hyperfinite Lévy processes, and use it to find exact formulas for expressions which are intuitively of the form Pt s=0 φ(ω, dls, s) and Qt s=0 ψ(ω, dls, s), where l is a Lévy process. These formulas are then applied to geometric Lévy processes, infinitesimal transformations of hyperfinite Lévy processes, and to minimal martingale measure...
متن کاملSubexponential loss rate asymptotics for Lévy processes
We consider a Lévy process reflected in barriers at 0 and K > 0. The loss rate is the mean time spent at the upper barrier K at time 1 when the process is started in stationarity, and is a natural continuous-time analogue of the stationary expected loss rate for a reflected random walk. We derive asymptotics for the loss rate when K tends to infinity, when the mean of the Lévy process is negati...
متن کاملFractional transport equations for Lévy stable processes.
The influence functional method of Feynman and Vernon is used to obtain a quantum master equation for a system subjected to a Lévy stable random force. The corresponding classical transport equations for the Wigner function are then derived, both in the limits of weak and strong friction. These are fractional extensions of the Klein-Kramers and the Smoluchowski equations. It is shown that the f...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Annales de l'Institut Henri Poincare (B) Probability and Statistics
سال: 2007
ISSN: 0246-0203
DOI: 10.1016/j.anihpb.2006.03.004