Kato Classes for Lévy Processes

نویسندگان
چکیده

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

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 کامل

Lévy Classes and Self–normalization*

We prove a Chung’s law of the iterated logarithm for recurrent linear Markov processes. In order to attain this level of generality, our normalization is random. In particular, when the Markov process in question is a diffusion, we obtain the integral test corresponding to a law of the iterated logarithm due to Knight.

متن کامل

Basics of Lévy Processes *

This is a draft Chapter from a book by the authors on “Lévy Driven Volatility Models”.

متن کامل

Nonlinear 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 کامل

Subexponential 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 کامل

ذخیره 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: Potential Analysis

سال: 2017

ISSN: 0926-2601,1572-929X

DOI: 10.1007/s11118-017-9614-1