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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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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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