Large deviations for clocks of self-similar processes

Alain Rouault; Nizar Demni; Marguerite Zani

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arXiv · 1411.5543

Large deviations for clocks of self-similar processes

Alain Rouault·Nizar Demni·Marguerite Zani

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Abstract

The Lamperti correspondence gives a prominent role to two random time changes: the exponential functional of a Lévy process drifting to $\infty$ 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 Yor and Zani.

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Alain Rouault, Nizar Demni, Marguerite Zani. 2014-11-20. Large deviations for clocks of self-similar processes. https://arxiv.org/abs/1411.5543

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