Small-time moment asymptotics for Lévy processes
نویسنده
چکیده
Given a Lévy process X with Lévy measure ν, conditions ensuring that limt→0 1t E f(Xt) = ∫ f(x)ν(dx) are given. The moment functions f considered here can be unbounded as well as satisfy simpler regularity conditions than those considered in some previous works. Also, the rate of convergence is determined when f vanishes in a neighborhood of the origin and satisfies other regularity conditions that essentially guarantee that the infinitesimal generator of the Lévy process at f , (Lf)(·), exists point-wise, and that it is ν-integrable.
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