A 0-1 law for spectrally positive Lévy processes conditioned to be positive


Döring, Leif


URL: https://wima5.math.uni-mannheim.de/fileadmin/lehrs...
Document Type: Report
Year of publication: 2014
Place of publication: Zürich
Publication language: English
Institution: School of Business Informatics and Mathematics > Stochastik (Döring 2017-)
Subject: 510 Mathematics
Abstract: Envelopes for the law of the iterated logarithm (LIL) at zero for Lévy processes con-ditioned to be positive have been established by Bertoin [2] and Pardo [6] in the case of spectrallynegative Lévy processes. For the spectrally positive case no results seem to be known on the smalltime asymptotics.In this note we use Lamperti’s transformation for continuous state branching processes to prove a 0-1 law for the functional∫0+1ξ↑sdsifξ↑is a spectrally positive Lévy process conditioned to be positive.

Dieser Datensatz wurde nicht während einer Tätigkeit an der Universität Mannheim veröffentlicht, dies ist eine Externe Publikation.




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Döring, Leif (2014) A 0-1 law for spectrally positive Lévy processes conditioned to be positive. Zürich [Report]


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