Large deviations of local times of Levy processes

被引:3
|
作者
Blackburn, R [1 ]
机构
[1] IBM Corp, Poughkeepsie, NY 12601 USA
关键词
Levy process; local time; large deviations;
D O I
10.1023/A:1007866713661
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
For X(t) a real-valued symmetric Levy process. its characteristic function is E(e(i lambda X(t))) = exp( - t psi(lambda)). Assume that psi is regularly varying at infinity with index 1 < beta less than or equal to 2. Let L-t(x) denote the local time of X(t) and L-t* = sup(x is an element of R) L-t(x). Estimates are obtained for P(L-t(0) greater than or equal to y) and P(L-t* greater than or equal to y) as y --> infinity and t fixed.
引用
收藏
页码:825 / 842
页数:18
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