Convex rearrangements of Lévy processes

DOI10.1051/ps:2007011zbMath1181.60067MaRDI QIDQ5429597

Youri Davydov, Emmanuel Thilly

Publication date: 30 November 2007

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=PS_2007__11__161_0

zbMATH Keywords

Lévy processes; Lorenz curve; regularly varying functions; strong laws; convex rearrangements

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60G17: Sample path properties

60G52: Stable stochastic processes

Cites Work

• Convex rearrangements, generalized Lorenz curves, and correlated Gaussian data
• Convex rearrangements of stable processes
• Asymptotic confidence bands for the Lorenz and Bonferroni curves based on the empirical Lorenz curve
• Almost sure weak convergence of the increments of Lévy processes
• On the rate of strong consistency of Lorenz curves
• Convex rearrangements of random walks
• Almost sure oscillation of certain random processes
• Strassen's LIL for the Lorenz curve
• Identification of a locally self-similar Gaussian process by using convex rearrangements
• Functional limit theorems for induced order statistics
• Stability and attraction to normality for Lévy processes at zero and at infinity
• Smoothing and occupation measures of stochastic processes
• Convex Rearrangements of Gaussian Processes
• Generalized Lorenz curves and convexifications of stochastic processes
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