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On the rate of growth of Lévy processes with no positive jumps conditioned to stay positive


 
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1. Title Title of document On the rate of growth of Lévy processes with no positive jumps conditioned to stay positive
 
2. Creator Author's name, affiliation, country Juan Carlos Pardo Millan; Department of mathematical science
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) L'evy processes conditioned to stay positive, Future infimum process, First and last passage times, Occupation times, Rate of growth, Integral tests.
 
3. Subject Subject classification 60 G 17, 60 G 51.
 
4. Description Abstract In this note, we study the asymptotic behaviour of Lévy processes with no positive jumps conditioned to stay positive and some related processes. In particular, we establish an integral test for the lower envelope at $0$ and at $+\infty$ and an analogue of Khintchin's law of the iterated logarithm at 0 and at $+\infty$, for the upper envelope of the reflected process at its future infimum.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s) EPSRC grant EP/D045460/1
 
7. Date (YYYY-MM-DD) 2008-10-13
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1414
 
10. Identifier Digital Object Identifier 10.1214/ECP.v13-1414
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 13
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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