Asymptotic shape of the concave majorant of a Lévy process

DOI10.5802/AHL.136MaRDI QIDQ6159719zbMATH OpenOpenAlexFDO

Authors David Bang, Jorge González Cázares, Aleksandar Mijatović

Publication date 20 June 2023

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

Copyright license Creative Commons Attribution 4.0 International

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

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)

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.

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Cited in

(5)

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

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