English

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 lim supt01f(t)XtX0\limsup_{t \to 0} \frac{1}{f(t)} |X_t-X_0| is finite resp.\ infinite with probability 11. 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.

Keywords

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}
}
R2 v1 2026-06-23T23:06:16.086Z