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 Electronic Journal of Probability > Vol. 9 (2004) > Paper 8 open journal systems 


Small-time Behaviour of Lévy Processes

Ronald A. Doney, Department of Mathematics, University of Manchester, UK


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.


Full text: PDF

Pages: 209--229

Published on: March 15, 2004


Bibliography
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Electronic Journal of Probability. ISSN: 1083-6489