The lower tail problem for homogeneous functionals of stable processes with no negative jumps
| dc.creator | Simon, Thomas | |
| dc.date | 2007-01-23 | |
| dc.date | 2007-09-17 | |
| dc.date.accessioned | 2026-07-07T08:29:45Z | |
| dc.date.available | 2026-07-07T08:29:45Z | |
| dc.description | 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. | |
| dc.description | Revised version. To appear in ALEA Latin American Journal of Probability and Mathematical Statistics | |
| dc.identifier | https://arxiv.org/abs/math/0701653 | |
| dc.identifier | http://arxiv.org/abs/math/0701653 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/138047 | |
| dc.subject | Probability | |
| dc.subject | 60F99, 60G18, 60G52, 60J55 | |
| dc.title | The lower tail problem for homogeneous functionals of stable processes with no negative jumps | |
| dc.type | text |