2006.361: Stochastic bounds for Lévy processes
2006.361: R. A. Doney (2004) Stochastic bounds for Lévy processes. The Annals of Probability, 32 (2). pp. 1545-1552. ISSN 0091-1798
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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 illustrated by establishing a comprehensive theorem about Lévy processes which converge to ∞ in probability.
|Subjects:||MSC 2000 > 60 Probability theory and stochastic processes|
|Deposited By:||Miss Louise Stait|
|Deposited On:||29 August 2006|