Lévy processes conditioned to stay in a half-space with applications to directional extremes

DOI10.15559/22-VMSTA217arXiv2105.12539MaRDI QIDQ6157629

Jevgenijs Ivanovs, Jakob D. Thøstesen

Publication date: 22 June 2023

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2105.12539

zbMATH Keywords

exchangeabilitylocal behaviorconditioning to stay positivedirectional extremesSparre-Andersen identity

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Sample path properties (60G17) Functional limit theorems; invariance principles (60F17)

Cites Work

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