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On the rate of growth of Lévy processes with no positive jumps conditioned to stay positive
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Juan Carlos Pardo Millan, Department of mathematical science
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Abstract
In this note, we study
the asymptotic behaviour of Lévy processes with no positive jumps
conditioned to stay positive and some related processes. In particular, we establish an integral test for the
lower envelope at $0$ and at $+infty$ and an analogue of
Khintchin's law of the iterated logarithm at 0 and at $+infty$, for the upper envelope of the reflected process at its future infimum.
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Full text: PDF
Pages: 494-506
Published on: October 13, 2008
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Electronic Communications in Probability. ISSN: 1083-589X |
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