The lower tail problem for homogeneous functionals of stable processes with no negative jumps

Thomas Simon

The lower tail problem for homogeneous functionals of stable processes with no negative jumps

概率论 2007-09-17 v2

作者: Thomas Simon

摘要

Let Z be a strictly a-stable real Levy process (a>1) and X be a fluctuating b-homogeneous additive functional of Z. We investigate the asymptotics of the first passage-time of X above 1, and give a general upper bound. When Z has no negative jumps, we prove that this bound is optimal and does not depend on the homogeneity parameter b. This extends a result of Y. Isozaki and solves partially a conjecture of Z. Shi.

关键词

lévy processes

引用

@article{arxiv.math/0701653,
  title  = {The lower tail problem for homogeneous functionals of stable processes with no negative jumps},
  author = {Thomas Simon},
  journal= {arXiv preprint arXiv:math/0701653},
  year   = {2007}
}

备注

Revised version. To appear in ALEA Latin American Journal of Probability and Mathematical Statistics

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