Small ball probabilities for jump Levy processes from the Wiener domain of attraction

Elena Shmileva

Research output

4 Citations (Scopus)

Abstract

Let X[rho] be a jump Lévy process of intensity [rho] which is close to the Wiener process if [rho] is big. We study the behavior of shifted small ball probability, namely, P{supt[set membership, variant][0,1]X[rho](t)-[lambda]f(t)[less-than-or-equals, slant]r} under all possible relations between the parameters r-->0, [rho]-->[infinity], [lambda]-->[infinity]. The shift function f is of bounded variation of its derivative.
Original languageEnglish
Pages (from-to)1873-1881
JournalStatistics and Probability Letters
Volume76
Issue number17
Publication statusPublished - 2006
Externally publishedYes

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