Some Local Asymptotic Laws for the Cauchy Process on the Line

A. Chukwuemeka Okoroafor

International Journal of Stochastic Analysis, 2007, vol. 2007, 1-9

Abstract:

This paper investigates the lim inf behavior of the sojourn time process and the escape rate process associated with the Cauchy process on the line. The monotone functions associated with the lower asymptotic growth rate of the sojourn time are characterized and the asymptotic size of the large values of the escape rate process is developed.

Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:081934

DOI: 10.1155/2007/81934

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