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Moment estimates for L\'{e}vy Processes

Probability 2016-08-16 v1

Abstract

For real L\'{e}vy processes (X_t)_t0(X\_t)\_{t \geq 0} having no Brownian component with Blumenthal-Getoor index β\beta, the estimate \Esup_stX_sa_pspC_pt\E \sup\_{s \leq t} | X\_s - a\_p s |^p \leq C\_p t for every t[0,1]t \in [0,1] and suitable a_pRa\_p \in \R has been established by Millar \cite{MILL} for β<p2\beta < p \leq 2 provided X_1LpX\_1 \in L^p. We derive extensions of these estimates to the cases p>2p > 2 and pβp \leq\beta.

Keywords

Cite

@article{arxiv.math/0607282,
  title  = {Moment estimates for L\'{e}vy Processes},
  author = {Harald Luschgy and Gilles Pagès},
  journal= {arXiv preprint arXiv:math/0607282},
  year   = {2016}
}

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11pages