Intermittency in the small-time behavior of Lévy processes

Danijel Grahovac

Statistics & Probability Letters, 2022, vol. 187, issue C

Abstract: In this paper we consider convergence of moments in the small-time limit theorems for Lévy processes. We provide precise asymptotics for all the absolute moments of positive order. The convergence of moments in limit theorems holds typically only up to some critical moment order and higher order moments decay at different rate. Such behavior is known as intermittency and has been encountered in some limit theorems.

Keywords: Small-time limit theorems; Lévy processes; Absolute moments; Intermittency (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/j.spl.2022.109507

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