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
Full text available as:
 | PDF - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader 142 Kb |
Official URL: http://www.math.washington.edu/~ejpecp/viewissue.php?id=200
Abstract
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.
| Item Type: | Article |
|---|---|
| Subjects: | MSC 2000 > 60 Probability theory and stochastic processes |
| MIMS number: | 2007.161 |
| Deposited By: | Mrs Louise Healey |
| Deposited On: | 19 November 2007 |
Download Statistics: last 4 weeks
Repository Staff Only: edit this item