Large deviations for clocks of self-similar processes

Nizar Demni, Alain Rouault, Marguerite Zani

Research output: Contribution to journalArticlepeer-review

Abstract

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).

Original languageEnglish (US)
Pages (from-to)443-466
Number of pages24
JournalLecture Notes in Mathematics
Volume2137
DOIs
StatePublished - 2015

ASJC Scopus subject areas

  • Algebra and Number Theory

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