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2008 On the rate of growth of Lévy processes with no positive jumps conditioned to stay positive
Juan Carlos Pardo Millan
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Electron. Commun. Probab. 13: 494-506 (2008). DOI: 10.1214/ECP.v13-1414

Abstract

In this note, we study the asymptotic behaviour of Lévy processes with no positive jumps conditioned to stay positive and some related processes. In particular, we establish an integral test for the lower envelope at $0$ and at $+\infty$ and an analogue of Khintchin's law of the iterated logarithm at 0 and at $+\infty$, for the upper envelope of the reflected process at its future infimum.

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Juan Carlos Pardo Millan. "On the rate of growth of Lévy processes with no positive jumps conditioned to stay positive." Electron. Commun. Probab. 13 494 - 506, 2008. https://doi.org/10.1214/ECP.v13-1414

Information

Accepted: 13 October 2008; Published: 2008
First available in Project Euclid: 6 June 2016

zbMATH: 1189.60099
MathSciNet: MR2447836
Digital Object Identifier: 10.1214/ECP.v13-1414

Subjects:
Primary: 60 G 17
Secondary: 60 G 51

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