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Finiteness of Integrals of Functions of Levy Processes

Erickson, K Bruce; Maller, Ross


We prove necessary and sufficient conditions for the almost sure convergence of the integrals ∫1∞ g(a(t)+ Mt) df (t)and ∫01 g(a(t) + Mt) df (t), and thus of ∫ 0∞ g(a(t) + Mt)df (t), where Mt = sup{|X s| : s ≤ t} is the two-sided maximum proces

CollectionsANU Research Publications
Date published: 2007
Type: Journal article
Source: Proceedings of the London Mathematical Society
DOI: 10.1112/plms/pdl011


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