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JOURNALS // Theory of Stochastic Processes // Archive

Theory Stoch. Process., 2011 Volume 17(33), Issue 2, Pages 35–54 (Mi thsp51)

Asymptotic behaviour of the distribution density of some Lévy functionals in $\mathbb{ R}^n$

V. Knopova

V.M. Glushkov Institute of Cybernetics National Academy of Science of Ukraine, 40, Acad. Glushkov Ave., 03187, Kiev, Ukraine

Abstract: The paper is devoted to the asymptotic behaviour of the distribution density of some Lévy functionals in $\mathbb{R}^n$. We generalize the results obtained in [18] for the case when $\theta(t)+ \|x\|\to\infty$, where $\theta(t)$ is some "scaling" function, and $(t,x)$ belong to a suitable domain of $\mathbb{R}_+\times \mathbb{R}^n$.

Keywords: Lévy process, Lévy functionals, distribution density, saddle point method, Laplace method.

MSC: Primary 60G51; Secondary 60J35, 60G22

Language: English



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