Pregled bibliografske jedinice broj: 1191338
Intermittency in the small-time behavior of Lévy processes
Intermittency in the small-time behavior of Lévy processes // Statistics & probability letters, 187 (2022), 109507, 8 doi:10.1016/j.spl.2022.109507 (međunarodna recenzija, članak, znanstveni)
CROSBI ID: 1191338 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
Intermittency in the small-time behavior of Lévy
processes
Autori
Grahovac, Danijel
Izvornik
Statistics & probability letters (0167-7152) 187
(2022);
109507, 8
Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni
Ključne riječi
Small-time limit theorems ; Lévy processes ; Absolute moments ; Intermittency
Sažetak
In this paper we consider convergence of moments in the small-time limit theorems for Lévy processes. We provide precise asymptotics for all the absolute moments of positive order. The convergence of moments in limit theorems holds typically only up to some critical moment order and higher order moments decay at different rate. Such behavior is known as intermittency and has been encountered in some limit theorems.
Izvorni jezik
Engleski
Znanstvena područja
Matematika
POVEZANOST RADA
Ustanove:
Sveučilište u Osijeku, Odjel za matematiku
Profili:
Danijel Grahovac
(autor)
Citiraj ovu publikaciju:
Časopis indeksira:
- Current Contents Connect (CCC)
- Web of Science Core Collection (WoSCC)
- Science Citation Index Expanded (SCI-EXP)
- SCI-EXP, SSCI i/ili A&HCI
- Scopus
