The growth of additive processes
Yang, Ming
Ann. Probab., Tome 35 (2007) no. 1, p. 773-805 / Harvested from Project Euclid
Let Xt be any additive process in ℝd. There are finite indices δi,  βi,  i=1, 2 and a function u, all of which are defined in terms of the characteristics of Xt, such that ¶ \[\liminf_{t\rightarrow0}u(t)^{-1/\eta}X_{t}^{*}=\cases{0,\phantom{\infty,\quad\!\!\!\!\!\!}\mbox{if }\eta>\delta_{1},\cr\infty,\quad \mbox{if }\eta\textless \delta_{2},}\] ¶ \[\limsup_{t\rightarrow0}u(t)^{-1/\eta}X_{t}^{*}=\cases{0,\phantom{\infty,\quad\!\!\!\!\!\!}\mbox{if }\eta>\beta_{2},\cr\infty,\quad \mbox{if }\eta\textless \beta_{1},}\qquad \mbox{a.s.},\] ¶ where Xt*=sup 0≤s≤t|Xs|. When Xt is a Lévy process with X0=0, δ12, β12 and u(t)=t. This is a special case obtained by Pruitt. When Xt is not a Lévy process, its characteristics are complicated functions of t. However, there are interesting conditions under which u becomes sharp to achieve δ12, β12.
Publié le : 2007-03-14
Classification:  Additive processes,  short-term behavior of X_t^*,  growth indices,  60G51,  60F15,  60G17,  60E07
@article{1175287763,
     author = {Yang, Ming},
     title = {The growth of additive processes},
     journal = {Ann. Probab.},
     volume = {35},
     number = {1},
     year = {2007},
     pages = { 773-805},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1175287763}
}
Yang, Ming. The growth of additive processes. Ann. Probab., Tome 35 (2007) no. 1, pp.  773-805. http://gdmltest.u-ga.fr/item/1175287763/