International audienceThe Lamperti correspondence gives a prominent role to two random time changes: the exponential functional of a Lévy process drifting to ∞ 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 [27]
URL des Documents de travail :http://ces.univ-paris1.fr/cesdp/CESFramDP2007.htmClassification JEL : ...
AbstractThe large deviations of an infinite moving average process with exponentially light tails ar...
AbstractWe consider some special classes of Lévy processes with no gaussian component whose Lévy mea...
International audienceThe Lamperti correspondence gives a prominent role to two random time changes:...
In this paper we obtain a Lamperti type representation for real-valued self-similar Markov processes...
For a positive self-similar Markov process, $X$, we construct a local time for the random set, $\The...
We establish integral tests and laws of the iterated logartihm for the upper envelope of the future ...
Positive self-similar Markov processes (pssMp) are positive Markov processes that satisfy the scalin...
We establish integral tests and laws of the iterated logarithm at $0$ and at $+\infty$, for the uppe...
We establish integral tests and laws of the iterated logarithm for the lower envelope of positive se...
By killing a stable Lévy process when it leaves the positive half-line, or by conditioning it to sta...
This paper addresses the question of predicting when a positive self-similar Markov process XX attai...
We consider some special classes of Lévy processes with no gaussian component whose Lévy measure is ...
A classical result, due to Lamperti, establishes a one-to-one correspondence between a class of stri...
We consider an irreducible continuous-time Markov chain on a finite state space and with time period...
URL des Documents de travail :http://ces.univ-paris1.fr/cesdp/CESFramDP2007.htmClassification JEL : ...
AbstractThe large deviations of an infinite moving average process with exponentially light tails ar...
AbstractWe consider some special classes of Lévy processes with no gaussian component whose Lévy mea...
International audienceThe Lamperti correspondence gives a prominent role to two random time changes:...
In this paper we obtain a Lamperti type representation for real-valued self-similar Markov processes...
For a positive self-similar Markov process, $X$, we construct a local time for the random set, $\The...
We establish integral tests and laws of the iterated logartihm for the upper envelope of the future ...
Positive self-similar Markov processes (pssMp) are positive Markov processes that satisfy the scalin...
We establish integral tests and laws of the iterated logarithm at $0$ and at $+\infty$, for the uppe...
We establish integral tests and laws of the iterated logarithm for the lower envelope of positive se...
By killing a stable Lévy process when it leaves the positive half-line, or by conditioning it to sta...
This paper addresses the question of predicting when a positive self-similar Markov process XX attai...
We consider some special classes of Lévy processes with no gaussian component whose Lévy measure is ...
A classical result, due to Lamperti, establishes a one-to-one correspondence between a class of stri...
We consider an irreducible continuous-time Markov chain on a finite state space and with time period...
URL des Documents de travail :http://ces.univ-paris1.fr/cesdp/CESFramDP2007.htmClassification JEL : ...
AbstractThe large deviations of an infinite moving average process with exponentially light tails ar...
AbstractWe consider some special classes of Lévy processes with no gaussian component whose Lévy mea...