| Título: | Functional Limit Theorems for Lévy Processes Satisfying Cramér's Condition |
| Autores: |
Barczy, Matyas; University of Debrecen Bertoin, Jean; Université Pierre et Marie Curie |
| Fecha: | 2011-01-01 |
| Publicador: | Electronic journal of probability |
| Fuente: |
 |
| Tipo: |
Peer-reviewed Article |
| Tema: |
Lévy process; Cramér's condition; self-similar Markov process 60G51; 60G18; 60B10 |
| Descripción: | We consider a Lévy process that starts from $x<0$ and conditioned on having a positive maximum. When Cramér's condition holds, we provide two weak limit theorems as $x$ goes to $-\infty$ for the law of the (two-sided) path shifted at the first instant when it enters $(0,\infty)$, respectively shifted at the instant when its overall maximum is reached. The comparison of these two asymptotic results yields some interesting identities related to time-reversal, insurance risk, and self-similar Markov processes. |
| Idioma: | No aplica |
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