Convex minorants and the fluctuation theory of Lévy processes

MaRDI QIDQ5094002zbMATH OpenFDO

Authors Jorge Ignacio González Cázares, Aleksandar Mijatović

Publication date 2 August 2022

Full work available at URL https://arxiv.org/abs/2105.15060, https://alea.impa.br/articles/v19/19-39.pdf

zbMATH Keywords

convex minorantfluctuation theoryLévy processespiecewise linear convex functionsvertex process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Abstract: We establish a novel characterisation of the law of the convex minorant of any L'evy process. Our self-contained elementary proof is based on the analysis of piecewise linear convex functions and requires only very basic properties of L'evy processes. Our main result provides a new simple and self-contained approach to the fluctuation theory of L'evy processes, circumventing local time and excursion theory. Easy corollaries include classical theorems, such as Rogozin's regularity criterion, Spitzer's identities and the Wiener-Hopf factorisation, as well as a novel factorisation identity.

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Cited in

(16)

• The convex minorant of the Cauchy process
• Markovian structure in the concave majorant of Brownian motion
• -strong simulation of the convex minorants of stable processes and meanders
• Lipschitz minorants of Brownian motion and Lévy processes
• Fluctuation theory for Lévy processes with completely monotone jumps
• Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
• scientific article; zbMATH DE number 4024422 (Why is no real title available?)
• Convex minorants of random walks and Lévy processes
• The convex minorant of a Lévy process
• Convex rearrangements of Lévy processes
• How smooth can the convex hull of a Lévy path be?
• Asymptotic shape of the concave majorant of a Lévy process
• Hölder continuity of the convex minorant of a Lévy process
• Joint density of the stable process and its supremum: regularity and upper bounds
• When is the convex hull of a Lévy path smooth?
• Modeling of measurement error in financial returns data

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