Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1154261 | Statistics & Probability Letters | 2006 | 9 Pages |
Abstract
Let XÏ be a jump Lévy process of intensity Ï which is close to the Wiener process if Ï is big. We study the behavior of shifted small ball probability, namely, P{suptâ[0,1]|XÏ(t)-λf(t)|⩽r} under all possible relations between the parameters râ0, Ïââ, λââ. The shift function f is of bounded variation of its derivative.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Elena Shmileva,