Excursions away from the Lipschitz minorant of a Lévy process
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Publication:2078023
DOI10.1214/21-AIHP1155zbMath1492.60129arXiv1905.07038MaRDI QIDQ2078023
Publication date: 25 February 2022
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/1905.07038
subordinator; global minimum; enlargement of filtration; fluctuation theory; regenerative set; path decomposition; last exit decomposition
60G51: Processes with independent increments; Lévy processes
60J65: Brownian motion
60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)