Precise Asymptotics for Lévy Processes

被引：3

作者：

Zhi Shui HU ^{[1
]}

Chun SU ^{[1
]}

机构：

[1] Department of Statistics and Finance,University of Science and Technology of China

来源：

Acta Mathematica Sinica(English Series) | 2007年 / 23卷 / 07期

关键词：

precise asymptotic; Lévy process; stable process; Fuk-Nagaev type inequality;

D O I：

暂无

中图分类号：

O211.6 [随机过程];

学科分类号：

摘要：

Let{X(t),t≥0}be a Lévy process with EX(1)=0 and EX~2(1)<∞.In this paper,weshall give two precise asymptotic theorems for{X(t),t≥0}.By the way,we prove the correspondingconclusions for strictly stable processes and a general precise asymptotic proposition for sums of i.i.d.random variables.

引用

页码：1265 / 1270

页数：6

共 50 条

[41] Nonsingular Transformations of Symmetric Lévy Processes
Vershik A.M.
Smorodina N.V.
Journal of Mathematical Sciences, 2014, 199 (2) : 123 - 129
[42] Occupation Times of Refracted Lévy Processes
A. E. Kyprianou
J. C. Pardo
J. L. Pérez
Journal of Theoretical Probability, 2014, 27 : 1292 - 1315
[43] Lévy-Driven Carma Processes
P. J. Brockwell
Annals of the Institute of Statistical Mathematics, 2001, 53 : 113 - 124
[44] Quantum Lévy processes on dual groups
Anis Ben Ghorbal
Michael Schürmann
Mathematische Zeitschrift, 2005, 251 : 147 - 165
[45] Thorin classes of Lévy processes and their transforms
B. Grigelionis
Lithuanian Mathematical Journal, 2008, 48
[46] Trace estimates for unimodal Lévy processes
K. Bogdan
B. A. Siudeja
Journal of Evolution Equations, 2016, 16 : 857 - 876
[47] Finite Variation of Fractional Lévy Processes
Christian Bender
Alexander Lindner
Markus Schicks
Journal of Theoretical Probability, 2012, 25 : 594 - 612
[48] Branching Processes in a L,vy Random Environment
Palau, S.
Pardo, J. C.
ACTA APPLICANDAE MATHEMATICAE, 2018, 153 (01) : 55 - 79
[49] Convex ordering criteria for Lévy processes
Jan Bergenthum
Ludger Rüschendorf
Advances in Data Analysis and Classification, 2007, 1 : 143 - 173
[50] Optimal portfolios for exponential Lévy processes
Jan Kallsen
Mathematical Methods of Operations Research, 2000, 51 : 357 - 374

← 1 2 3 4 5 →