Penalising symmetric stable Lévy paths

Limit theorems for the normalized laws with respect to two kinds of weight functionals are studied for any symmetric stable Lévy process of index 1 < \alpha \le 2 . The first kind is a function of the local time at the origin, and the second kind is the exponential of an occupation time integral....

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Veröffentlicht in:Journal of the Mathematical Society of Japan 2009-07, Vol.61 (3), p.757-798
Hauptverfasser: YANO, Kouji, YANO, Yuko, YOR, Marc
Format: Artikel
Sprache:eng
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Zusammenfassung:Limit theorems for the normalized laws with respect to two kinds of weight functionals are studied for any symmetric stable Lévy process of index 1 < \alpha \le 2 . The first kind is a function of the local time at the origin, and the second kind is the exponential of an occupation time integral. Special emphasis is put on the role played by a stable Lévy counterpart of the universal \sigma -finite measure, found in [9] and [10], which unifies the corresponding limit theorems in the Brownian setup for which \alpha = 2 .
ISSN:0025-5645
1881-2333
DOI:10.2969/jmsj/06130757