Large deviations for clocks of self-similar processes
Abstract
The Lamperti correspondence gives a prominent role to two random time changes: the exponential functional of a Lévy process drifting to ∞ and its inverse, the clock of the corresponding positive self-similar process. We describe here asymptotical properties of these clocks in large time, extending the results of [27].
Domains
Probability [math.PR]
Origin : Files produced by the author(s)
Loading...