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Small-time Behaviour of Lévy Processes
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Ronald A. Doney, Department of Mathematics, University of Manchester, UK
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Abstract
In this paper a necesary and sufficient condition is established for the
probability that a Lévy process is positive at time t to tend to 1
as t tends to 0. This condition is expressed in terms of the characteristics of
the process, and is also shown to be equivalent to two probabilistic
statements about the behaviour of the process for small time t.
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Full text: PDF
Pages: 209--229
Published on: March 15, 2004
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Electronic Journal of Probability. ISSN: 1083-6489 |
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