Small-time limit behavior of the probability that a Lévy process stays positive
In the paper, we find analytically the upper and lower limits (as the time parameter tends to zero) of the probability that the Lévy process staring at 0 stays positive. We confine ourselves to the situation where the real and imaginary parts of the characteristic function are regularly varying at i...
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| Date: | 2016 |
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| Main Author: | |
| Format: | Article |
| Language: | English |
| Published: |
Інститут кібернетики ім. В.М. Глушкова НАН України
2016
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| Series: | Кибернетика и системный анализ |
| Subjects: | |
| Online Access: | http://dspace.nbuv.gov.ua/handle/123456789/133691 |
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| Journal Title: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Cite this: | Small-time limit behavior of the probability that a Lévy process stays positive / V.P. Knopova // Кибернетика и системный анализ. — 2016. — Т. 52, № 3. — С. 164-169. — Бібліогр.: 8 назв. — англ. |