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Theory of Stochastic Processes, 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
References:
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.
Bibliographic databases:
Document Type: Article
MSC: Primary 60G51; Secondary 60J35, 60G22
Language: English
Citation: V. Knopova, “Asymptotic behaviour of the distribution density of some Lévy functionals in $\mathbb{ R}^n$”, Theory Stoch. Process., 17(33):2 (2011), 35–54
Citation in format AMSBIB
\Bibitem{Kno11}
\by V.~Knopova
\paper Asymptotic behaviour of the distribution density of some L\'evy functionals in $\mathbb{ R}^n$
\jour Theory Stoch. Process.
\yr 2011
\vol 17(33)
\issue 2
\pages 35--54
\mathnet{http://mi.mathnet.ru/thsp51}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2934558}
\zmath{https://zbmath.org/?q=an:1249.60095}
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