Functional limit theorems for Lévy processes satisfying Cramér's condition

DOI10.1214/EJP.V16-930zbMATH Open1244.60049arXiv1104.4733MaRDI QIDQ428565FDOQ428565

Mátyás Barczy, Jean Bertoin

Publication date: 22 June 2012

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: We consider a L'evy process that starts from $x<0$ and conditioned on having a positive maximum. When Cram'er's condition holds, we provide two weak limit theorems as $xo-infty$ for the law of the (two-sided) path shifted at the first instant when it enters $(0,infty)$, respectively shifted at the instant when its overall maximum is reached. The comparison of these two asymptotic results yields some interesting identities related to time-reversal, insurance risk, and self-similar Markov processes.

Full work available at URL: https://arxiv.org/abs/1104.4733

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zbMATH Keywords

self-similar Markov processLévy processCramér's condition

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Processes with independent increments; Lévy processes (60G51) Self-similar stochastic processes (60G18)

Cited In (7)

• Sample path behavior of a Lévy insurance risk process approaching ruin, under the Cramér-Lundberg and convolution equivalent conditions
• Sample paths of a Lévy process leading to first passage over high levels in finite time
• Cramér's estimate for a reflected Lévy process
• Zooming in on a Lévy process at its supremum
• An almost sure functional limit theorem at zero for a class of Lévy processes normed by the square root function, and applications
• Functional limit theorems for degenerate Lévy processes
• Distributional representations and dominance of a Lévy process over its maximal jump processes

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