On the Favorite Points of Symmetric Lévy Processes

Bo Li (), Yimin Xiao () and Xiaochuan Yang ()
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Bo Li: Central China Normal University
Yimin Xiao: Michigan State University
Xiaochuan Yang: Michigan State University

Journal of Theoretical Probability, 2019, vol. 32, issue 4, 1943-1972

Abstract: Abstract This paper is concerned with asymptotic behavior (at zero and at infinity) of the favorite points of Lévy processes. By exploring Molchan’s idea for deriving lower tail probabilities of Gaussian processes with stationary increments, we extend the result of Marcus (J Theor Probab 14(3):867–885, 2001) on the favorite points to a larger class of symmetric Lévy processes.

Keywords: Lévy processes; Local times; Favorite points; Gaussian processes; Lower tail probability; 60J55; 60J75; 60G15 (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1007/s10959-018-0857-6

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