Hölder continuity of the convex minorant of a Lévy process

DOI10.1214/23-ecp549zbMath1528.60041arXiv2207.12433OpenAlexW4387985640MaRDI QIDQ6177611

David Kramer-Bang, Jorge González Cázares, Aleksandar Mijatović

Publication date: 17 January 2024

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2207.12433

zbMATH Keywords

Hölder continuityLévy processconvex minorant

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Lipschitz (Hölder) classes (26A16) Zero-one laws (60F20)

Cites Work

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• Self-similar processes with independent increments
• Passage of Lévy processes across power law boundaries at small times
• A converse of the Hölder inequality theorem
• Convex minorants and the fluctuation theory of L\'evy processes

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