Abstract
For X(t) a real-valued symmetric Lévy process, its characteristic function is E(e iλX(t))=exp(−tψ(λ)). Assume that ψ is regularly varying at infinity with index 1<β≤2. Let L x t denote the local time of X(t) and L* t =sup x∈R L x t . Estimates are obtained for P(L 0 t ≥y) and P(L* t ≥y) as y→∞ and t fixed.
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Blackburn, R. Large Deviations of Local Times of Lévy Processes. Journal of Theoretical Probability 13, 825–842 (2000). https://doi.org/10.1023/A:1007866713661
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DOI: https://doi.org/10.1023/A:1007866713661