On the law of the supremum of Lévy processes

DOI10.1214/11-AOP708MaRDI QIDQ373575zbMATH OpenOpenAlexFDO

Authors 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, https://projecteuclid.org/euclid.aop/1367241498

zbMATH Keywords

absolute continuityaverage occupation measureequivalent measuresexcursion measurepast supremumreflected process

Mathematics Subject Classification ID

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

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.

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