Dini derivatives and regularity for exchangeable increment processes
From MaRDI portal
Abstract: Let be an exchangeable increment (EI) process whose sample paths are of infinite variation. We prove that, for any fixed almost surely, [ limsup_{h o 0 pm} (X_{t+h}-X_t)/h=infty quad ext{and}quad liminf_{h o 0pm} (X_{t+h}-X_t)/h=-infty. ]This extends a celebrated result of Rogozin (1968) for L'evy processes, and completes the known picture for finite-variation EI processes. Applications are numerous. For example, we deduce that both half-lines and are visited immediately for infinite variation EI processes (called upward and downward regularity). We also generalize the zero-one law of Millar (1977) for L'evy processes by showing continuity of when it reaches its minimum in the infinite variation EI case; an analogous result for all EI processes links right and left continuity at the minimum with upward and downward regularity. We also consider results of Durrett, Iglehart and Miller (1977) on the weak convergence of conditioned Brownian bridges to the normalized Brownian excursion, and broadened to a subclass of L'evy processes and EI processes by Uribe Bravo (2014) and Chaumont and Uribe Bravo (2015). We prove it here for all infinite variation EI processes. We furthermore obtain a description of the convex minorant for non-piecewise linear EI processes, the case of L'evy processes given by Pitman and Uribe Bravo (2012). Our main tool to study the Dini derivatives is a change of measure for EI processes which extends the Esscher transform for L'evy processes.
Recommendations
Cites work
- A Combinatorial Lemma and Its Application to Probability Theory
- Affine processes on \(\mathbb{R}_+^m\times\mathbb{R}^n\) and multiparameter time changes
- An integro-differential equation for a compound Poisson process with drift and the integral equation of H. Cramer
- Asymptotics of trees with a prescribed degree sequence and applications
- Bridges of Lévy processes conditioned to stay positive
- Canonical representations and convergence criteria for processes with interchangeable increments
- Combinatorial Lemmas in Higher Dimensions
- Combinatorial stochastic processes. Ecole d'Eté de Probabilités de Saint-Flour XXXII -- 2002.
- Concave majorants of random walks and related Poisson processes
- Convex hulls of multidimensional random walks
- Convex hulls of random walks, hyperplane arrangements, and Weyl chambers
- Convex hulls of random walks: expected number of faces and face probabilities
- Convex minorants of random walks and Lévy processes
- Eternal additive coalescents and certain bridges with exchangeable increments
- Exact simulation of the extrema of stable processes
- Exchangeable and partially exchangeable random partitions
- Exotic option pricing and advanced Lévy models.
- Fluctuations of Lévy processes with applications. Introductory lectures
- scientific article; zbMATH DE number 1713116 (Why is no real title available?)
- scientific article; zbMATH DE number 1789869 (Why is no real title available?)
- scientific article; zbMATH DE number 918811 (Why is no real title available?)
- scientific article; zbMATH DE number 936413 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- scientific article; zbMATH DE number 3263684 (Why is no real title available?)
- scientific article; zbMATH DE number 3295826 (Why is no real title available?)
- scientific article; zbMATH DE number 3338207 (Why is no real title available?)
- Markovian bridges: weak continuity and pathwise constructions
- Probabilistic Symmetries and Invariance Principles
- Random trees and applications
- Regularity of the half-line for Lévy processes
- Ruin probabilities for Bayesian exchangeable claims processes
- Shifting processes with cyclically exchangeable increments at random
- Splitting at the infimum and excursions in half-lines for random walks and Lévy processes
- Tail bounds for the height and width of a random tree with a given degree sequence
- The convex minorant of a Lévy process
- The exploration process of inhomogeneous continuum random trees, and an extension of Jeulin's local time identity
- Toeplitz matrices, translation kernels and a related problem in probability theory
- VOTRE LÉVY RAMPE-T-IL?
- Weak convergence to Brownian meander and Brownian excursion
- Zero-One Laws and the Minimum of a Markov Process
Cited in
(9)- Limit theorems for local times and applications to SDEs with jumps
- -strong simulation of the convex minorants of stable processes and meanders
- scientific article; zbMATH DE number 809399 (Why is no real title available?)
- The sticky Lévy process as a solution to a time change equation
- On stabilizability of nonbilinear perturbed descriptor systems
- Stable trees as mixings of inhomogeneous continuum random trees
- Scaling limits of random looptrees and bipartite plane maps with prescribed large faces
- Totally ordered measured trees and splitting trees with infinite variation. II: Prolific skeleton decomposition
- When is the convex hull of a Lévy path smooth?
This page was built for publication: Dini derivatives and regularity for exchangeable increment processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3300661)
