Moment estimates for Lévy Processes

Details Moment estimates for Lévy Processes Moment estimates for Lévy Processes

2006-07-12

arxiv.org/abs/math/0607282v1

Mathematics

Probability

11pages

Scientific paper

For real L\'{e}vy processes $(X\_t)\_{t \geq 0}$ having no Brownian component with Blumenthal-Getoor index $\beta$, the estimate $\E \sup\_{s \leq t} | X\_s - a\_p s |^p \leq C\_p t$ for every $t \in [0,1]$ and suitable $a\_p \in \R$ has been established by Millar \cite{MILL} for $\beta < p \leq 2$ provided $X\_1 \in L^p$. We derive extensions of these estimates to the cases $p > 2$ and $p \leq\beta$.

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