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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
Аннотация:
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 $\mathbb{R}_+\times \mathbb{R}^n$.
Ключевые слова:
Lévy process, Lévy functionals, distribution density, saddle point method, Laplace method.
Образец цитирования:
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
Образцы ссылок на эту страницу:
https://www.mathnet.ru/rus/thsp51 https://www.mathnet.ru/rus/thsp/v17/i2/p35
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