Asymptotic shape of the concave majorant of a Lévy process

DOI10.5802/ahl.136zbMath1523.60085arXiv2106.09066OpenAlexW3167631128MaRDI QIDQ6159719

Aleksandar Mijatović, Jorge González Cázares, David Bang

Publication date: 20 June 2023

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

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

zbMATH Keywords

limit theoremLévy processconcave majorantconvex minorantstick-breaking process

Mathematics Subject Classification ID

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

Cites Work

• Convex hulls of Lévy processes
• Convex minorants of random walks and Lévy processes
• The convex minorant of a Lévy process
• Convex hulls of random walks and their scaling limits
• Splitting at the infimum and excursions in half-lines for random walks and Lévy processes
• The convex hull of a planar random walk: perimeter, diameter, and shape
• How long is the convex minorant of a one-dimensional random walk?
• A Gaussian approximation theorem for Lévy processes
• Stochastic Models with Power-Law Tails
• On the convex hull of symmetric stable processes
• Geometrically Convergent Simulation of the Extrema of Lévy Processes
• Convex minorants and the fluctuation theory of L\'evy processes
• Convex hulls of planar random walks with drift
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