The lower tail problem for homogeneous functionals of stable processes with no negative jumpsReportar como inadecuado




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1 Département de Mathématiques Evry

Abstract : Let Z be a strictly a-stable real Levy process a>1 and X be a fluctuating b-homogeneous additive functional of Z. We investigate the asymptotics of the first passage-time of X above 1, and give a general upper bound. When Z has no negative jumps, we prove that this bound is optimal and does not depend on the homogeneity parameter b. This extends a result of Y. Isozaki and solves partially a conjecture of Z. Shi.

Keywords : Wiener-Hopf factorization in two dimensions Fluctuating additive functional lower tail probability self-similar process stable process Wiener-Hopf factorization in two dimensions.





Autor: Thomas Simon -

Fuente: https://hal.archives-ouvertes.fr/



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