2007.161: Small-time behaviour of Lévy processes
2007.161: R. A. Doney (2004) Small-time behaviour of Lévy processes. Electronic Journal of Probability, 9. pp. 209-229. ISSN 1083-6489
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In this paper a necessary and sufficient condition is established for the probability that a Lévy process is positive at time t to tend to 1 as t tends to 0. This condition is expressed in terms of the characteristics of the process, and is also shown to be equivalent to two probabilistic statements about the behaviour of the process for small time t.
|Subjects:||MSC 2000 > 60 Probability theory and stochastic processes|
|Deposited By:||Mrs Louise Healey|
|Deposited On:||19 November 2007|