Sinai's condition for real valued L\'{e}vy processes
Abstract
We prove that the upward ladder height subordinator associated to a real valued L\'{e}vy process has Laplace exponent that varies regularly at (resp. at 0) if and only if the underlying L\'{e}vy process satisfies Sinai's condition at 0 (resp. at ). Sinai's condition for real valued L\'{e}vy processes is the continuous time analogue of Sinai's condition for random walks. We provide several criteria in terms of the characteristics of to determine whether or not it satisfies Sinai's condition. Some of these criteria are deduced from tail estimates of the L\'{e}vy measure of here obtained, and which are analogous to the estimates of the tail distribution of the ladder height random variable of a random walk which are due to Veraverbeke and Gr\"{u}bel
Keywords
Cite
@article{arxiv.math/0505495,
title = {Sinai's condition for real valued L\'{e}vy processes},
author = {Victor Rivero},
journal= {arXiv preprint arXiv:math/0505495},
year = {2007}
}
Comments
26 pages, 24 Mai 2005