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arxiv: 1411.5543 · v1 · pith:IRR56A4Wnew · submitted 2014-11-20 · 🧮 math.PR

Large deviations for clocks of self-similar processes

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keywords clockslargeprocessself-similartimeasymptoticalchangesclock
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The Lamperti correspondence gives a prominent role to two random time changes: the exponential functional of a L\'evy process drifting to $\infty$ and its inverse, the clock of the corresponding positive self-similar process. We describe here asymptotical properties of these clocks in large time, extending the results of Yor and Zani.

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