English

Non-asymptotic control of the cumulative distribution function of L\'evy processes

Probability 2020-03-23 v1 Statistics Theory Statistics Theory

Abstract

We propose non-asymptotic controls of the cumulative distribution function P(Xtε)P(|X_{t}|\ge \varepsilon), for any t>0t>0, ε>0\varepsilon>0 and any L\'evy process XX such that its L\'evy density is bounded from above by the density of an α\alpha-stable type L\'evy process in a neighborhood of the origin. The results presented are non-asymptotic and optimal, they apply to a large class of L\'evy processes.

Keywords

Cite

@article{arxiv.2003.09281,
  title  = {Non-asymptotic control of the cumulative distribution function of L\'evy processes},
  author = {Céline Duval and Ester Mariucci},
  journal= {arXiv preprint arXiv:2003.09281},
  year   = {2020}
}