Large deviations for clocks of self-similar processes
classification
🧮 math.PR
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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