Suprema of Lévy processes

DOI10.1214/11-AOP719zbMath1288.60061arXiv1103.0935MaRDI QIDQ373557

Jacek Małecki, Michał Ryznar, Mateusz Kwaśnicki

Publication date: 17 October 2013

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1103.0935

zbMATH Keywords

first passage timeLévy processfluctuation theorysupremum functional

Mathematics Subject Classification ID

Related Items (24)

The Class of Distributions Associated with the Generalized Pollaczek-Khinchine Formula ⋮ Fluctuation theory for Lévy processes with completely monotone jumps ⋮ The first passage time problem over a moving boundary for asymptotically stable Lévy processes ⋮ Zooming in on a Lévy process at its supremum ⋮ DRAWDOWN MEASURES AND RETURN MOMENTS ⋮ Green function estimates for subordinate Brownian motions: Stable and beyond ⋮ Geometrically Convergent Simulation of the Extrema of Lévy Processes ⋮ Multilevel Monte Carlo for exponential Lévy models ⋮ Dirichlet heat kernel for unimodal Lévy processes ⋮ One-dimensional polymers in random environments: stretching vs. folding ⋮ On the joint distribution of the supremum functional and its last occurrence for subordinated linear Brownian motion ⋮ Zooming-in on a Lévy process: failure to observe threshold exceedance over a dense grid ⋮ Record statistics of a strongly correlated time series: random walks and Lévy flights ⋮ Global uniform boundary Harnack principle with explicit decay rate and its application ⋮ Fractional diffusion limit for a kinetic equation with an interface ⋮ Hopf's lemma for viscosity solutions to a class of non-local equations with applications ⋮ Short proofs in extrema of spectrally one sided Lévy processes ⋮ Global Dirichlet heat kernel estimates for symmetric Lévy processes in half-space ⋮ Hitting times of points and intervals for symmetric Lévy processes ⋮ Semilinear equations for non-local operators: beyond the fractional Laplacian ⋮ The entrance law of the excursion measure of the reflected process for some classes of Lévy processes ⋮ Persistence Probabilities and Exponents ⋮ Density behaviour related to Lévy processes ⋮ Barriers, exit time and survival probability for unimodal Lévy processes

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