Large deviations for clocks of self-similar processes
Résumé
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].
Domaines
Probabilités [math.PR]| Origine | Fichiers produits par l'(les) auteur(s) |
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