Large deviations for clocks of self-similar processes
Probability
2014-11-21 v1
Abstract
The Lamperti correspondence gives a prominent role to two random time changes: the exponential functional of a L\'evy process drifting to and its inverse, the clock of the corresponding positive self-similar process. We describe here asymptotical properties of these clocks in large time, extending the results of Yor and Zani.
Keywords
Cite
@article{arxiv.1411.5543,
title = {Large deviations for clocks of self-similar processes},
author = {Alain Rouault and Nizar Demni and Marguerite Zani},
journal= {arXiv preprint arXiv:1411.5543},
year = {2014}
}