Non-random overshoots of L\'evy processes

MaRDI QIDQ5500147zbMATH OpenFDO

Authors Matija Vidmar

Publication date 5 August 2015

Full work available at URL https://arxiv.org/abs/1301.4463

zbMATH Keywords

fluctuation theoryovershootsfirst entrance/passage timesLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Abstract: The class of Levy processes for which overshoots are almost surely constant quantities is precisely characterized.

Cited in

(4)

• Nonergodicity of a time series obeying Lévy statistics
• Zooming-in on a Lévy process: failure to observe threshold exceedance over a dense grid
• Overshoots and undershoots of Lévy processes
• First passage problems for upwards skip-free random walks via the scale functions paradigm

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