Intermittency in the small-time behavior of Levy processes

被引：0
|
作者：
Grahovac, Danijel [1 ]
机构：
[1] Univ Osijek, Dept Math, Trg Ljudevita Gaja 6, Osijek 31000, Croatia
来源：
STATISTICS & PROBABILITY LETTERS | 2022年 / 187卷
关键词：
Small-time limit theorems; Levy processes; Absolute moments; Intermittency; STOCHASTIC HEAT-EQUATION; SUPERPOSITIONS;
D O I：
10.1016/j.spl.2022.109507
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：
In this paper we consider convergence of moments in the small-time limit theorems for Levy processes. We provide precise asymptotics for all the absolute moments of positive order. The convergence of moments in limit theorems holds typically only up to some critical moment order and higher order moments decay at different rate. Such behavior is known as intermittency and has been encountered in some limit theorems. (c) 2022 Elsevier B.V. All rights reserved.
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