Upper functions for sample paths of L\'evy(-type) processes

Franziska Kühn

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arXiv · 2102.06541

Upper functions for sample paths of L\'evy(-type) processes

Franziska Kühn

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Abstract

We study the small-time asymptotics of sample paths of L\'evy processes and L\'evy-type processes. Namely, we investigate under which conditions the limit $$\limsup_{t \to 0} \frac{1}{f(t)} |X_t-X_0|$$ is finite resp.\ infinite with probability $1$. We establish integral criteria in terms of the infinitesimal characteristics and the symbol of the process. Our results apply to a wide class of processes, including solutions to L\'evy-driven SDEs and stable-like processes. For the particular case of L\'evy processes, we recover and extend earlier results from the literature. Moreover, we present a new maximal inequality for L\'evy-type processes, which is of independent interest.

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Franziska Kühn. 2021-02-12. Upper functions for sample paths of L\'evy(-type) processes. https://arxiv.org/abs/2102.06541

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