Large deviations for clocks of self-similar processes

Alain Rouault, Nizar Demni, Marguerite Zani

Published 2014-11-20Version 1

The Lamperti correspondence gives a prominent role to two random time changes: the exponential functional of a L\'evy process drifting to $\infty$ and its inverse, the clock of the corresponding positive self-similar process. We describe here asymptotical properties of these clocks in large time, extending the results of Yor and Zani.