some local asymptotic laws for the cauchy process on the line一些当地的渐近法柯西过程.pdfVIP

Hindawi Publishing Corporation Journal of Applied Mathematics and Stochastic Analysis Volume 2007, Article ID 81934, 9 pages doi:10.1155/2007/81934 Research Article Some Local Asymptotic Laws for the Cauchy Process on the Line A. Chukwuemeka Okoroafor Received 22 September 2006; Revised 19 January 2007; Accepted 9 May 2007 This paper investigates the lim inf behavior of the sojourn time process and the escape rate process associated with the Cauchy process on the line. The monotone functions associated with the lower asymptotic growth rate of the sojourn time are characterized and the asymptotic size of the large values of the escape rate process is developed. Copyright © 2007 A. Chukwuemeka Okoroafor. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, dis- tribution, and reproduction in any medium, provided the original work is properly cited. 1. Introduction Let X (t) = {X (t, ω), t ≥ 0} be a Levy process on a probability space (Ω,f ,P ) with values n in R . We are interested in the sample path properties of the function X (t) = X (t, ω) for a fixed ω ∈ Ω. Let X (t), t ≥ 0, denote a Levy process and define T(r) = τ I{|X (s)|≤r }ds, (1.1) 0 where τ = inf s o : X (s) 1 . (1.2) Let B (0,r) denote the ball in Rn of radius r centered at zero, then, T(r) is the sojourn time of X (t) in B (0,r) up to time τ. It is well known (see [1, 2]) that the sojourn time forms a useful tool in studying the local geometric properties of fractal sets determined by the sample paths of Levy processes n in R . For example, the application of the density theore