Questions tagged [levy-processes]

Theory and applications of Lévy processes (stochastic processes with stationary and independent increments): e.g. path properties, stochastic differential equations driven by jump-type processes, fluctuation theory of Lévy processes, queuing theory.

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128 views

Continuous-time random walk on $\mathbb{R}$ that never stays still

Consider a walker on the real line $\mathbb{R}$ and two probability density functions $w$ and $j$ defined over $\mathbb{R}$. A walker starts at $0$ and iterates the following: it samples a waiting ...
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90 views

Poisson point process in polar coordinates

Let $D = \mathbb{R^+} \times (\mathbb{R}\backslash \{0\})$ Let $\mu(dt \times dx)$ be a $\sigma$-finite measure on the Borel $\sigma$-algebra $\sigma(D)$. Let $M(dt \times dx)$ be the Poisson random ...
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73 views

How can we show this estimate for the convolution of two probability measures?

Let $(\delta_k)_{k\in\mathbb N}\subseteq(0,\infty)$ be nonincreasing with $\delta_k\xrightarrow{k\to\infty}0$ and $(\varepsilon_k)_{k\in\mathbb N}\subseteq(0,\infty)$ with $\sum_{k\in\mathbb N}\...
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195 views

If $(\exp(\mu_n))_{n\in\mathbb N}$ is weakly convergent, is the normalized sequence convergent as well?

Let $E$ be a metric space and $\mathcal M(E)$ denoote the space of finite signed measures on $\mathcal B(E)$ equipped with the total variation norm $\left\|\;\cdot\;\right\|$. I would like to know ...
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44 views

Invariant measures of Levy S.D.Es

Suppose we call a real valued stochastic process $\{Z_t\}$ to be distributed as ${\cal S}\alpha{\cal S}(\sigma)$ if each of the characteristic functions is $\phi_{Z_t}(u) = \exp\left\{-t\vert \sigma u ...
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65 views

Characterization of the generator of a Lévy process using martingale problems

Let $(X_t)_{t\ge0}$ be a real-valued Lévy process. Note that $$\mu_t:=\mathcal L(X_t)\;\;\;\text{for }t\ge0$$ is a continuous convolution semigroup$^1$. Let $$\tau_x:\mathbb R\to\mathbb R\;,\;\;\;y\...
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115 views

Is this statement of the Lévy–Khintchine formula ill-posed?

Please take a look at the following statement of the Lévy–Khintchine formula given in Probability Theory: A Comprehensive Course (2nd edition)$^1$: Am I missing something or is this an ill-posed ...
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74 views

Existence of unique convolution semigroups of probability measures on more general spaces then $\mathbb R^d$

Let $E$ be a $\mathbb R$-Banach space, $\mathcal M_1(E)$ (resp. $\mathcal M_1^\infty(E)$) denote the set of probability measures (resp. infinitely divisible probability measures) on $E$, $\varphi_\mu$ ...
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127 views

Existence of a distinguished continuous version of the logarithm of a continuous function

Let $E$ be a $\mathbb R$-Banach space and $\varphi\in C^0(E,\mathbb C\setminus\{0\})$ with $\varphi(0)=1$. I want to show that there is an unique $\psi\in C^0(E,\mathbb C)$ with $\psi(0)=0$ and $$\...
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54 views

Define the convolution root of probability measures on a measurable group

Let $(G,\mathcal G)$ be a measurable group and $\nu^{\ast k}$ denote the $k$th convolution power of a probability measure $\nu$ on $(G,\mathcal G)$ for $k\in\mathbb N$. Remember that a probability ...
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202 views

If $\mu$ is an infinitely divisible probability measure on $[0,\infty)$, then the Lévy measure of $\mu$ is the vague limit of $n\mu^{*1/n}$

If $\nu$ is a finite measure on $(\mathbb R,\mathcal B(\mathbb R))$, let $\nu^{\ast k}$ denote the $k$-fold convolution¹ of $\nu$ with itself for $k\in\mathbb N_0$, $$\exp(\nu)\mathrel{:=}\sum_{k=0}^\...
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42 views

Is the distribution of a Banach space valued Lévy process uniquely determined by its characteristic function?

Let $E$ be a $\mathbb R$-Banach space. Remember that if $\mu$ is a finite measure on $\mathcal B(E)$ then $$\Phi_\mu:E'\to\mathbb C\;,\;\;\;\varphi\mapsto\int\mu({\rm d}x)e^{{\rm i}\varphi(x)}$$ is ...
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77 views

If $L_t=\sum_{i=1}^{N_t}Y_i$ is a compound Poisson process, then $\left|\left\{s\in[0,t]:\Delta L_s\in B\right\}\right|=\sum_{i=1}^{N_t}1_B(Y_i)$

Let $H$ be a $\mathbb R$-Hilbert space, $\mu$ be a finite measure on $\mathcal B(H)$ with $\mu(\{0\})=0$ and $(L_t)_{t\ge0}$ be a $H$-valued càdlàg Lévy process on a probability space $(\Omega,\...
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42 views

Generalised central limit theorem with correlated sums

Suppose that $X_i\sim X$ and $Y_j\sim Y$ are independent samples of heavy-tailed random variables (with the same power-law tail index $\alpha$ but possibly differing tail prefactors), such that the ...
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122 views

An integral involving Levy process with no positive jumps

Let $L_t$ be a Levy process that has no positive jumps, but is not strictly decreasing, i.e $$ L_t = \gamma t + \sigma B_t + J_t, $$ where $B_t$ is a Brownian motion, $J_t$ is a pure jump process with ...
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137 views

Existence of the differential entropy for infinitely divisible laws

Let $X$ be an absolutely continuous (i.e. its law is absolutely continuous with respect to the Lebesgue measure) random variable with probability density $p$. Its differential entropy is given by $$h(...
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48 views

Quantiles of a Levy process

Let $X = \{ X_t \in {\bf R}, t \geq 0 \}$ be a 1-dimensional (real) Levy process. Suppose further that the distribution of $X_t$ is not concentrated on a grid. (This forces the distribution of $X_t$ ...
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177 views

Characteristic function and moments

Let $X\in L^1(\Omega)$ and $\phi_X$ the corresponding characteristic function. We know that: $\phi_X$ is $n$ times differentiable (at $u=0$) iff $\mathbb{E}[X^n]<\infty$. (This depends a bit on ...
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42 views

Hitting order of sets by a Lévy process

Let $X$ be a transient Lévy process on $\mathbb R$, and $B\subseteq \mathbb R$ a Borel set with first hitting time $T_B = \inf \left\{t>0 : X_t\in B\right\}$. For Borel $A\subseteq B$, can anything ...
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72 views

Identity for stable Lévy subordinator

I want a proof or a reference for the identity $$ \int_0^\infty \frac{s^{n-1}}{\Gamma(n)} p_\beta(s,x)\,ds =\frac{x^{n\beta-1}}{\Gamma(\beta n)},\quad x>0, \,n\in\mathbb N, $$ where $x\mapsto p_\...
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83 views

Probability of exiting on the boundary for a monotone Lévy-type process

Let the continuous function $\ell:\mathbb R \times(0,\infty)\to[0,\infty)$ be a Lévy-type kernel, such that $$ \sup_{x}\int_0^\infty \min\{1,y\}\ell( x, y)\,dy<\infty, $$ and suppose that $\...
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55 views

Polynomial growth of random walks: critical values?

Consider a sequence of i.i.d. random variables $(X_n)_{n\geq 0}$, and set $S_N = \sum_{n=1}^N X_n$. For which $p> 0$ do we have that \begin{equation} \lim \inf \frac{|S_N|}{N^{1/p}} > 0 \text{ ...
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96 views

Is there a name for the sample variance process of a Lévy process?

Let $X_t$ be a Lévy process which is known to have mean zero and finite variance $t \cdot \sigma^2$, but for which the value of $\sigma^2$ is unknown. How do we estimate $\sigma^2$? One approach would ...
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738 views

Simulation of Lévy walk

I have problems to find out how to do discrete simulation of the Lévy walk. I can sum my doubts in a few questions: According to Wikipedia it seems to me that Lévy flight can be produced just by ...
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99 views

escape points of Levy processes

Suppose $D$ is a domain in $\mathbb{R}^d$, $x\in D$. $X_t$ is a Levy process with Lévy triplet ${\displaystyle (b,0,\mu )}$ . Can one give a brief proof for: $$ \mathbb{P}_x(X_{\tau_D^-}\in \partial ...
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2answers
542 views

Monotone convergence theorem for stochastic integrals

I was wondering if there exists an equivalent of a monotone convergence theorem for stochastic integrals. I looked into plenty of books and papers, but I haven't found anything useful. I would expect ...
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76 views

A dependent and discrete version of the Komlós-Major-Tusnády theorem

The well-known Komlós-Major-Tusnády approximation gives sharp speed of convergence of a uniform empirical process to a Brownian bridge. Here I am considering how to approach a similar problem with ...
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99 views

Modulus of continuity of Lévy process as jump size tends to zero

While reading Kallenberg's "Foundations of Modern Probability Theory", 2nd edition, the following question regarding an argument in the proof of Lemma 15.19 occurred to me. Let $X_n(t)$ be a sequence ...
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84 views

Orlicz spaces and $\phi$-functions

A $\phi$-function $f$ is usually defined as a continuous function $f=\mathbb R_+ \to \mathbb R_+$ such that: (1) $f$ is nondecreasing. (2) $f(0)=0$ and $f(x)>0$ for all $x>0$. (3) $\lim_{x\to ...
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217 views

Itô Formula for Hilbert space-valued Lévy processes

I know there are Itô formulas for cylindrical Brownian motions with values in a Hilbert space and Itô formulas for Lévy processes in $\mathbb{R}^d$. My question is: does there exist an Itô formula ...
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285 views

Version of Donsker-Invariance-Principle

Assume we have a Levy process $(X_t)_{t\geq 0}$ with a finite second moment for all $t>0$. For simplicity, say $\operatorname{Var}\left[X_1\right]=1$. Let $\tilde{X}_t:=X_t-t\cdot E\left[X_1\right]$...
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1k views

Lévy measure and Lévy process

A Lévy measure $\nu$ on $\mathbb R^{d}$ is a measure satisfying $$\nu\{0\} = 0, \ \int_{\mathbb R^{d}} (|y|^{2}\wedge 1) \nu(dy) <\infty.$$ A Lévy process can be characterized by triples $(b, A, \...
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260 views

Radon-Nikodym for continuous time processes

Likelihood theory for statistical inference concerning stochastic processes in continuous time are well used. How ever i've found no real literature concerning the fundamentals. What is know from ...
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142 views

Definition: Grigelionis Process?ch [closed]

Background I've been reading this article and it keeps referring to "Grigelionis processes", which apparently generalize Levy processes. However the paper does not define these object clearly and ...
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139 views

Besov regularity of càdlàg functions?

Let $D(\mathbb{R})$ be the space of functions from $\mathbb{R}$ to $\mathbb{R}$ that are right continuous with left limits (also referred to as càdlàg functions). $D(\mathbb{R})$ is often called the ...
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266 views

What is the Blumenthal-Getoor index of Student's distributions?

For infinitely divisible random variables, Blumenthal and Getoor introduced in [1] an index that allow to study for instance the local Hölder regularity of Lévy processes. For a symmetric infinitely ...