TY - JOUR
T1 - Large deviations for clocks of self-similar processes
AU - Demni, Nizar
AU - Rouault, Alain
AU - Zani, Marguerite
N1 - Publisher Copyright:
© Springer International Publishing Switzerland 2015.
PY - 2015
Y1 - 2015
N2 - The Lamperti correspondence gives a prominent role to two random time changes: the exponential functional of a Lévy process drifting to 1 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 Yor and Zani (Bernoulli 7, 351-362, 2001).
AB - The Lamperti correspondence gives a prominent role to two random time changes: the exponential functional of a Lévy process drifting to 1 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 Yor and Zani (Bernoulli 7, 351-362, 2001).
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U2 - 10.1007/978-3-319-18585-9_19
DO - 10.1007/978-3-319-18585-9_19
M3 - Article
AN - SCOPUS:84941242451
SN - 0075-8434
VL - 2137
SP - 443
EP - 466
JO - Lecture Notes in Mathematics
JF - Lecture Notes in Mathematics
ER -