Asymptotic shape of the concave majorant of a Lévy process

DOI10.5802/AHL.136zbMATH Open1523.60085arXiv2106.09066OpenAlexW3167631128MaRDI QIDQ6159719FDOQ6159719

Authors: David Bang, Jorge González Cázares, Aleksandar Mijatović 

Publication date: 20 June 2023

Published in: Annales Henri Lebesgue (Search for Journal in Brave)

Abstract: We establish distributional limit theorems for the shape statistics of a concave majorant (i.e. the fluctuations of its length, its supremum, the time it is attained and its value at $T$) of any L'evy process on $[0,T]$ as $Toinfty$. The scale of the fluctuations of the length and other statistics, as well as their asymptotic dependence, vary significantly with the tail behaviour of the L'evy measure. The key tool in the proofs is the recent representation of the concave majorant for all L'evy processes using a stick-breaking representation.

Full work available at URL: https://arxiv.org/abs/2106.09066

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zbMATH Keywords

limit theoremconcave majorantconvex minorantstick-breaking processLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05)

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Cited In (5)

• The convex minorant of a Lévy process
• Iterated-logarithm laws for convex hulls of random walks with drift
• Concave majorants of random walks and related Poisson processes
• Convex minorants and the fluctuation theory of Lévy processes
• When is the convex hull of a Lévy path smooth?

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