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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| Veröffentlicht in: | Кибернетика и системный анализ |
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| Datum: | 2016 |
| 1. Verfasser: | |
| Format: | Artikel |
| Sprache: | English |
| Veröffentlicht: |
Інститут кібернетики ім. В.М. Глушкова НАН України
2016
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| Schlagworte: | |
| Online Zugang: | https://nasplib.isofts.kiev.ua/handle/123456789/133691 |
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| Назва журналу: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Zitieren: | 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. |