Large Deviations of Local Times of Lévy Processes

Robert Blackburn
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Robert Blackburn: IBM Corporation

Journal of Theoretical Probability, 2000, vol. 13, issue 3, 825-842

Abstract: Abstract For X(t) a real-valued symmetric Lévy process, its characteristic function is E(e iλX(t))=exp(−tψ(λ)). Assume that ψ is regularly varying at infinity with index 1

Keywords: Lévy process; local time; large deviations (search for similar items in EconPapers)
Date: 2000
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DOI: 10.1023/A:1007866713661

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