Doney, R. A.
(2004)
*Stochastic bounds for Lévy processes.*
The Annals of Probability, 32 (2).
pp. 1545-1552.
ISSN 0091-1798

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Official URL: http://projecteuclid.org/Dienst/UI/1.0/Summarize/e...

## Abstract

Using the Wiener–Hopf factorization, it is shown that it is possible to bound the path of an arbitrary Lévy process above and below by the paths of two random walks. These walks have the same step distribution, but different random starting points. In principle, this allows one to deduce Lévy process versions of many known results about the large-time behavior of random walks. This is illustrated by establishing a comprehensive theorem about Lévy processes which converge to ∞ in probability.

Item Type: | Article |
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Subjects: | MSC 2010, the AMS's Mathematics Subject Classification > 60 Probability theory and stochastic processes |

Depositing User: | Ms Lucy van Russelt |

Date Deposited: | 29 Aug 2006 |

Last Modified: | 20 Oct 2017 14:12 |

URI: | http://eprints.maths.manchester.ac.uk/id/eprint/523 |

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