A weak approximation for the extrema's distributions of Lévy processes

zbMATH Open1405.60063arXiv1701.05466MaRDI QIDQ4613655FDOQ4613655

Authors: Amir T. Payandeh Najafabadi, Dan Kucerovsky 

Publication date: 24 January 2019

Abstract: Suppose $X_t$ is a one-dimensional and real-valued L'evy process started from $X_0=0$, which ({�f 1}) its nonnegative jumps measure $u$ satisfying $in{t}_{BbbR}min1,x^{2}u(dx)<infty$ and ({�f 2}) its stopping time $au(q)$ is emph{either} a geometric emph{or} an exponential distribution with parameter $q$ independent of $X_t$ and $au(0)=infty.$ This article employs the Wiener-Hopf Factorization (WHF) to find, an $L^{p^{\ast }}(BbbR)$ (where $1/p^{\ast }+1/p=1$ and $1<pleq2$), approximation for the extrema's distributions of $X_t.$ Approximating the finite (infinite)-time ruin probability as a direct application of our findings has been given. Estimation bounds, for such approximation method, along with two approximation procedures and several examples are explored.

Full work available at URL: https://arxiv.org/abs/1701.05466

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zbMATH Keywords

the Fourier transformpositive-definite functionLévy processesextrema's distributionsthe Hilbert transform

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Processes with independent increments; Lévy processes (60G51) Continued fractions (11A55) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38) Boundary theory for Markov processes (60J50)

Cited In (5)

• Distribution of the extremum of a mean-reverting square-root process over a finite time interval
• Weak consistency of extreme value estimators in \(C[0,1]\)
• Short proofs in extrema of spectrally one sided Lévy processes
• Approximate Wiener-Hopf factorization and Monte Carlo methods for Lévy processes
• Weak Approximations for SDE’s Driven by Lévy Processes

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