Functional laws for trimmed Lévy processes

DOI10.1017/jpr.2017.39zbMath1400.60067arXiv1609.07206OpenAlexW2962881282MaRDI QIDQ4684895

Yuguang Ipsen, Boris Buchmann, Ross A. Maller

Publication date: 26 September 2018

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

Full work available at URL: https://arxiv.org/abs/1609.07206

zbMATH Keywords

trimmed Lévy processreinsurance risk processfunctional lawSkorokhod \(J_{1}\)-topologytrimming càdlàg function

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Extreme value theory; extremal stochastic processes (60G70) Stable stochastic processes (60G52) Functional limit theorems; invariance principles (60F17) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items

Convergence of extreme values of Poisson point processes at small times, Trimmed Lévy processes and their extremal components, Small time convergence of subordinators with regularly or slowly varying canonical measure, No-tie conditions for large values of extremal processes

Cites Work

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