English

Sinai's condition for real valued L\'{e}vy processes

Probability 2007-05-23 v1

Abstract

We prove that the upward ladder height subordinator HH associated to a real valued L\'{e}vy process ξ\xi has Laplace exponent ϕ\phi that varies regularly at \infty (resp. at 0) if and only if the underlying L\'{e}vy process ξ\xi satisfies Sinai's condition at 0 (resp. at \infty). 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 ξ\xi 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 H,H, 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