On the asymptotic behaviour of increasing positive self-similar Markov processes

Maria Emilia Caballero; Victor Rivero

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arXiv · 0711.1834

On the asymptotic behaviour of increasing positive self-similar Markov processes

Maria Emilia Caballero·Victor Rivero

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Abstract

We are interested by the rate of growth of increasing positive self-similar Markov processes (ipssMp) such that the subordinator associated to it via Lamperti's transformation has infinite mean. We prove that the logarithm of an ipssMp normalized by the logarithm of the time converges weakly, as the time tends to infinity, if and only if the Laplace exponent of the underlying subordinator is regularly varying at zero. Moreover, we prove that the regular variation at zero of the Laplace exponent is essentially nasc for the existence of a function that normalizes the logarithm of an ipssMp. We obtain a law of iterated logarithm for the liminf of the logarithm of an ipssMp and an integral test to study the upper envelope of it. Furthermore, results concerning the rate of growth of the random clock appearing in Lamperti's transformation are obtained.

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Maria Emilia Caballero, Victor Rivero. 2007-11-12. On the asymptotic behaviour of increasing positive self-similar Markov processes. https://arxiv.org/abs/0711.1834

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