Excursions away from the Lipschitz minorant of a Lévy process

DOI10.1214/21-AIHP1155zbMath1492.60129arXiv1905.07038OpenAlexW4226469006MaRDI QIDQ2078023

Mehdi Ouaki, Steven N. Evans

Publication date: 25 February 2022

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1905.07038

zbMATH Keywords

subordinatorglobal minimumenlargement of filtrationfluctuation theoryregenerative setpath decompositionlast exit decomposition

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Brownian motion (60J65) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (4)

Scalar conservation laws with white noise initial data ⋮ Markovian structure in the concave majorant of Brownian motion ⋮ Random tessellations and Gibbsian solutions of Hamilton-Jacobi equations ⋮ Two continua of embedded regenerative sets

Cites Work

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