Median, concentration and fluctuations for Lévy processes

DOI10.1016/J.SPA.2007.06.008MaRDI QIDQ2483470zbMATH OpenOpenAlexFDO

Authors Christian Houdré, Philippe Marchal

Publication date 28 April 2008

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0607022

zbMATH Keywords

concentrationLévy processesmedian

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Large deviations (60F10) Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52)

Abstract: We estimate a median of $f(X_t)$ where $f$ is a Lipschitz function, $X$ is a L'evy process and $t$ an arbitrary time. This leads to concentration inequalities for $f(X_t)$. In turn, corresponding fluctuation estimates are obtained under assumptions typically satisfied if the process has a regular behavior in small time and a, possibly different, regular behavior in large time.

Recommendations

• scientific article; zbMATH DE number 4046773
• Non-asymptotic control of the cumulative distribution function of Lévy processes
• Asymptotic properties of power variations of Lévy processes
• Fluctuation theory for Lévy processes. Ecole d'Eté de probabilités de Saint-Flour XXXV -- 2005.
• Lévy processes: concentration function and heat kernel bounds

Cites work

• L^1-norm of infinitely divisible random vectors and certain stochastic integrals
• scientific article; zbMATH DE number 918811 (Why is no real title available?)
• On the concentration of measure phenomenon for stable and related random vectors.
• Remarks on deviation inequalities for functions of infinitely divisible random vectors

Cited in

(4)

• Majority dynamics and the median process: connections, convergence and some new conjectures
• scientific article; zbMATH DE number 3356084 (Why is no real title available?)
• Expected median of a shifted Brownian motion: Theory and calculations
• Limit theorems for random sums of random summands

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