On the small-time behaviour of Lévy-type processes

2013/10/01 by Victoria Knopova, V. Knopova, Knopova, V. +3
Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Mathematical Dynamics and Fractals #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics #math.PR

paper · pdf · doi:10.48550/arxiv.1310.0404

arxiv created 2013/10/01 · openalex publication_date 2013/10/01 · arxiv updated 2013/10/02 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We show some Chung-type \liminf law of the iterated logarithm results at zero for a class of (pure-jump) Feller or Lévy-type processes. This class includes all Lévy processes. The norming function is given in terms of the symbol of the infinitesimal generator of the process. In the Lévy case, the symbol coincides with the characteristic exponent.

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