中文

Cramer's estimate for the exponential functional of a Levy process

概率论 2007-05-23 v1

摘要

We consider the exponential functional A=0eξsdsA_{\infty}=\int_0^{\infty} e^{\xi_s} ds associated to a Levy process (ξt)t0(\xi_t)_{t \geq 0}. We find the asymptotic behavior of the tail of this random variable, under some assumptions on the process ξ\xi, the main one being Cramer's condition, that asserts the existence of a real χ>0\chi >0 such that E(eχξ1)=1{\Bbb E}(e^{\chi \xi_1})=1. Then there exists C>0C>0 satisfying, when t+t \to +\infty : P(A>t)Ctχ. {\Bbb P} (A_{\infty}> t) \sim C t^{-\chi} \quad . This result can be applied for example to the process ξt=atSα(t)\xi_t = at - S_{\alpha}(t) where SαS_{\alpha} stands for the stable subordinator of index α\alpha (0<α<10 < \alpha < 1), and aa is a positive real (we have then χ=a1/(α1)\chi=a^{1/(\alpha -1)}).

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引用

@article{arxiv.math/0211409,
  title  = {Cramer's estimate for the exponential functional of a Levy process},
  author = {Mejane Olivier},
  journal= {arXiv preprint arXiv:math/0211409},
  year   = {2007}
}

备注

12 pages