Zooming in on a Lévy process at its supremum
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Publication:1650094
DOI10.1214/17-AAP1320zbMath1391.60107arXiv1610.04471MaRDI QIDQ1650094
Publication date: 29 June 2018
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1610.04471
self-similarityinvariance principlefunctional limit theoremdiscretization errorEuler schemescaling limitsdomains of attractionmixing convergenceconditioned to stay positivehigh frequency statisticssmall-time behaviour
Processes with independent increments; Lévy processes (60G51) Self-similar stochastic processes (60G18) Stable stochastic processes (60G52) Functional limit theorems; invariance principles (60F17)
Related Items (15)
Optimal estimation of the supremum and occupation times of a self-similar Lévy process ⋮ Geometrically Convergent Simulation of the Extrema of Lévy Processes ⋮ Intermittency in the small-time behavior of Lévy processes ⋮ Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation ⋮ On the speed of convergence of Piterbarg constants ⋮ How smooth can the convex hull of a Lévy path be? ⋮ On the divergence and vorticity of vector ambit fields ⋮ Extreme order statistics of random walks ⋮ Lévy processes conditioned to stay in a half-space with applications to directional extremes ⋮ A Monte Carlo algorithm for the extrema of tempered stable processes ⋮ Zooming-in on a Lévy process: failure to observe threshold exceedance over a dense grid ⋮ Limit theorems for trawl processes ⋮ A broad view of queueing theory through one issue ⋮ Discretization error for a two-sided reflected Lévy process ⋮ Discretization of the Lamperti representation of a positive self-similar Markov process
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