L1 Norm of Lévy Processes with Exponential Tails.
M. Braverman, G. Samorodnitsky (1996)
Mathematica Scandinavica
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Displaying similar documents to “Tail asymptotics for exponential functionals of Lévy processes: The convolution equivalent case”
L1 Norm of Lévy Processes with Exponential Tails.
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The density of real-valued Lévy processes is studied in small time under the assumption that the process has many small jumps. We prove that the real line can be divided into three subsets on which the density is smaller and smaller: the set of points that the process can reach with a finite number of jumps (Δ-accessible points); the set of points that the process can reach with an infinite number of jumps (asymptotically Δ-accessible points); and the set of points that the process...
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