Zooming-in on a Lévy process: failure to observe threshold exceedance over a dense grid
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Publication:2201489
DOI10.1214/20-EJP513zbMath1459.60098arXiv1904.06162MaRDI QIDQ2201489
Krzysztof Bisewski, Jevgenijs Ivanovs
Publication date: 29 September 2020
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1904.06162
Processes with independent increments; Lévy processes (60G51) Limit theorems in probability theory (60F99)
Related Items (10)
Optimal estimation of the supremum and occupation times of a self-similar Lévy process ⋮ Geometrically Convergent Simulation of the Extrema of Lévy Processes ⋮ Intermittency in the small-time behavior of Lévy processes ⋮ Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation ⋮ On the speed of convergence of Piterbarg constants ⋮ How smooth can the convex hull of a Lévy path be? ⋮ Lower bound for the expected supremum of fractional brownian motion using coupling ⋮ Lévy processes conditioned to stay in a half-space with applications to directional extremes ⋮ A Monte Carlo algorithm for the extrema of tempered stable processes ⋮ Discretization of the Lamperti representation of a positive self-similar Markov process
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