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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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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

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