On the law of the supremum of Lévy processes

DOI10.1214/11-AOP708zbMath1277.60081arXiv1011.4151OpenAlexW2061355801MaRDI QIDQ373575

Loïc Chaumont

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/1011.4151

zbMATH Keywords

absolute continuityexcursion measurereflected processpast supremumaverage occupation measureequivalent measures

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Extreme value theory; extremal stochastic processes (60G70)

Related Items (35)

On the one dimensional spectral heat content for stable processes ⋮ The Class of Distributions Associated with the Generalized Pollaczek-Khinchine Formula ⋮ Optimal estimation of the supremum and occupation times of a self-similar Lévy process ⋮ Location of the path supremum for self-similar processes with stationary increments ⋮ The first passage time of a stable process conditioned to not overshoot ⋮ Zooming in on a Lévy process at its supremum ⋮ Geometrically Convergent Simulation of the Extrema of Lévy Processes ⋮ On the location of the maximum of a process: Lévy, Gaussian and Random field cases ⋮ Proper two-sided exits of a Lévy process ⋮ A remarkable \(\sigma\)-finite measure unifying supremum penalisations for a stable Lévy process ⋮ Asymptotic behaviour of first passage time distributions for Lévy processes ⋮ Transient analysis of Lévy-driven tandem queues ⋮ Multilevel Monte Carlo for exponential Lévy models ⋮ Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation ⋮ One-dimensional polymers in random environments: stretching vs. folding ⋮ Creeping of Lévy processes through curves ⋮ Implicit renewal theory for exponential functionals of Lévy processes ⋮ Zooming-in on a Lévy process: failure to observe threshold exceedance over a dense grid ⋮ \(\varepsilon\)-strong simulation of the convex minorants of stable processes and meanders ⋮ The convex minorant of a Lévy process ⋮ Lipschitz minorants of Brownian motion and Lévy processes ⋮ Totally ordered measured trees and splitting trees with infinite variation ⋮ Perturbation analysis of Poisson processes ⋮ A factorization of a Lévy process over a phase-type horizon ⋮ Short proofs in extrema of spectrally one sided Lévy processes ⋮ Branching processes seen from their extinction time via path decompositions of reflected Lévy processes ⋮ Spectral analysis of stable processes on the positive half-line ⋮ Conditioning subordinators embedded in Markov processes ⋮ Error Bounds for Small Jumps of Lévy Processes ⋮ Predicting the time at which a Lévy process attains its ultimate supremum ⋮ Convex minorants and the fluctuation theory of L\'evy processes ⋮ The entrance law of the excursion measure of the reflected process for some classes of Lévy processes ⋮ Density behaviour related to Lévy processes ⋮ Path decomposition of a reflected Lévy process on first passage over high levels ⋮ Sample path behavior of a Lévy insurance risk process approaching ruin, under the Cramér-Lundberg and convolution equivalent conditions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A remarkable \(\sigma\)-finite measure unifying supremum penalisations for a stable Lévy process
• Asymptotic behaviour of first passage time distributions for Lévy processes
• On extrema of stable processes
• Splitting at backward times in regenerative sets
• Fluctuation theory for Lévy processes. Ecole d'Eté de probabilités de Saint-Flour XXXV -- 2005.
• The asymptotic behavior of densities related to the supremum of a stable process
• Energy image density property and the lent particle method for Poisson measures
• Introductory lectures on fluctuations of Lévy processes with applications.
• ON A FLUCTUATION IDENTITY FOR RANDOM WALKS AND LÉVY PROCESSES
• On Continuity Properties of Infinitely Divisible Distribution Functions
• Maxima of sums of random variables and suprema of stable processes
• A new fluctuation identity for Lévy processes and some applications

This page was built for publication: On the law of the supremum of Lévy processes