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