Small-time behaviour of Lévy processes

Doney, R. A. (2004) Small-time behaviour of Lévy processes. Electronic Journal of Probability, 9. pp. 209-229. ISSN 1083-6489

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In this paper a necessary and sufficient condition is established for the probability that a Lévy process is positive at time t to tend to 1 as t tends to 0. This condition is expressed in terms of the characteristics of the process, and is also shown to be equivalent to two probabilistic statements about the behaviour of the process for small time t.

Item Type: Article
Subjects: MSC 2010, the AMS's Mathematics Subject Classification > 60 Probability theory and stochastic processes
Depositing User: Ms Lucy van Russelt
Date Deposited: 19 Nov 2007
Last Modified: 20 Oct 2017 14:12

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