Upper functions for sample paths of L\'evy(-type) processes
Probability
2021-10-11 v3
Abstract
We study the small-time asymptotics of sample paths of L\'evy processes and L\'evy-type processes. Namely, we investigate under which conditions the limit is finite resp.\ infinite with probability . We establish integral criteria in terms of the infinitesimal characteristics and the symbol of the process. Our results apply to a wide class of processes, including solutions to L\'evy-driven SDEs and stable-like processes. For the particular case of L\'evy processes, we recover and extend earlier results from the literature. Moreover, we present a new maximal inequality for L\'evy-type processes, which is of independent interest.
Cite
@article{arxiv.2102.06541,
title = {Upper functions for sample paths of L\'evy(-type) processes},
author = {Franziska Kühn},
journal= {arXiv preprint arXiv:2102.06541},
year = {2021}
}