On the asymptotic behavior of the density of the supremum of Lévy processes

DOI10.1214/15-AIHP674zbMath1350.60042arXiv1310.1587OpenAlexW2962763668MaRDI QIDQ330695

Loïc Chaumont, Jacek Małecki

Publication date: 26 October 2016

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.1587

zbMATH Keywords

Lévy processesdensityasymptotic behaviourrenewal functionmeanderpast supremum

Mathematics Subject Classification ID

Related Items (9)

Hitting probabilities for L\'{e}vy processes on the real line ⋮ Geometrically Convergent Simulation of the Extrema of Lévy Processes ⋮ Multilevel Monte Carlo for exponential Lévy models ⋮ Creeping of Lévy processes through curves ⋮ Zooming-in on a Lévy process: failure to observe threshold exceedance over a dense grid ⋮ \(\varepsilon\)-strong simulation of the convex minorants of stable processes and meanders ⋮ Short proofs in extrema of spectrally one sided Lévy processes ⋮ The entrance law of the excursion measure of the reflected process for some classes of Lévy processes ⋮ Density behaviour related to Lévy processes

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