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Asymptotical properties of distributions of isotropic L\' evy processes

Probability 2017-08-30 v2

Abstract

In this paper, we establish the precise asymptotic behaviors of the tail probability and the transition density of a large class of isotropic L\'evy processes when the scaling order is between 0 and 2 including 2. We also obtain the precise asymptotic behaviors of the tail probability of subordinators when the scaling order is between 0 and 1 including 1. The asymptotic expressions are given in terms of the radial part of characteristic exponent ψ\psi and its derivative. In particular, when ψ(λ)λ2ψ(λ)\psi(\lambda)-\frac{\lambda}{2}\psi'(\lambda) varies regularly, as tψ(r1)2ψ(r1)(2r)1ψ(r1)0\frac{t\psi(r^{-1})^2}{\psi(r^{-1})-(2r)^{-1}\psi'(r^{-1})} \to 0 the tail probability P(Xtr)\mathbb{P}(|X_t|\geq r) is asymptotically equal to a constant times t(ψ(r1)(2r)1ψ(r1)). t( \psi(r^{-1})-(2r)^{-1}\psi'(r^{-1})).

Keywords

Cite

@article{arxiv.1605.03737,
  title  = {Asymptotical properties of distributions of isotropic L\' evy processes},
  author = {Panki Kim and Ante Mimica},
  journal= {arXiv preprint arXiv:1605.03737},
  year   = {2017}
}

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27 pages