Stochastic bounds for Levy processes

Thumbnail Image

Date

Authors

Journal Title

Journal ISSN

Volume Title

Publisher

Abstract

Description

Using the Wiener-Hopf factorization, it is shown that it is possible to bound the path of an arbitrary Levy process above and below by the paths of two random walks. These walks have the same step distribution, but different random starting points. In principle, this allows one to deduce Levy process versions of many known results about the large-time behavior of random walks. This is illustrated by establishing a comprehensive theorem about Levy processes which converge to \infty in probability.
Published by the Institute of Mathematical Statistics (http://www.imstat.org) in the Annals of Probability (http://www.imstat.org/aop/) at http://dx.doi.org/10.1214/009117904000000315

Keywords

Probability, 60G51, 60G17 (Primary)

Citation

URI

http://salesiana.dossiersoluciones.com/handle/123456789/72775

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0410153
 http://arxiv.org/abs/math/0410153
 Annals of Probability 2004, Vol. 32, No. 2, 1545-1552
 doi:10.1214/009117904000000315

Collections

arXiv