On the law of the supremum of Lévy processes

DOI10.1214/11-AOP708zbMATH Open1277.60081arXiv1011.4151OpenAlexW2061355801MaRDI QIDQ373575FDOQ373575

Authors: Loïc Chaumont 

Publication date: 17 October 2013

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

Abstract: We show that the law of the overall supremum $$ of a L'evy process $X$ before the deterministic time $t$ is equivalent to the average occupation measure $m{u}_t(dx)=in{t}_0^{t}p(X_{s}indx),ds$, whenever 0 is regular for both open halflines $(-infty,0)$ and $(0,infty)$. In this case, $$ is absolutely continuous for some (and hence for all) $t>0$, if and only if the resolvent measure of $X$ is absolutely continuous. We also study the cases where 0 is not regular for one of the halflines $(-infty,0)$ or $(0,infty)$. Then we give absolute continuity criterions for the laws of $$, $$ and $$, where $g_t$ is the time at which the supremum occurs before $t$. The proofs of these results use an expression of the joint law $$ in terms of the entrance law of the excursion measure of the reflected process at the supremum and that of the reflected process at the infimum. As an application, this law is made (partly) explicit in some particular instances.

Full work available at URL: https://arxiv.org/abs/1011.4151

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zbMATH Keywords

absolute continuitypast supremumaverage occupation measureequivalent measuresexcursion measurereflected process

Mathematics Subject Classification ID

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

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Cited In (45)

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