The Annals of Applied Probability

Zooming in on a Lévy process at its supremum

Jevgenijs Ivanovs

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Abstract

Let $M$ and $\tau$ be the supremum and its time of a Lévy process $X$ on some finite time interval. It is shown that zooming in on $X$ at its supremum, that is, considering $((X_{\tau+t\varepsilon}-M)/a_{\varepsilon})_{t\in\mathbb{R}}$ as $\varepsilon\downarrow0$, results in $(\xi_{t})_{t\in\mathbb{R}}$ constructed from two independent processes having the laws of some self-similar Lévy process $\widehat{X}$ conditioned to stay positive and negative. This holds when $X$ is in the domain of attraction of $\widehat{X}$ under the zooming-in procedure as opposed to the classical zooming out [Trans. Amer. Math. Soc. 104 (1962) 62–78]. As an application of this result, we establish a limit theorem for the discretization errors in simulation of supremum and its time, which extends the result in [Ann. Appl. Probab. 5 (1995) 875–896] for a linear Brownian motion. Additionally, complete characterization of the domains of attraction when zooming in on a Lévy process is provided.

Article information

Source
Ann. Appl. Probab., Volume 28, Number 2 (2018), 912-940.

Dates
Received: October 2016
Revised: April 2017
First available in Project Euclid: 11 April 2018

Permanent link to this document
https://projecteuclid.org/euclid.aoap/1523433628

Digital Object Identifier
doi:10.1214/17-AAP1320

Mathematical Reviews number (MathSciNet)
MR3784492

Zentralblatt MATH identifier
06897947

Subjects
Primary: 60G51: Processes with independent increments; Lévy processes 60F17: Functional limit theorems; invariance principles
Secondary: 60G18: Self-similar processes 60G52: Stable processes

Keywords
Conditioned to stay positive discretization error domains of attraction Euler scheme functional limit theorem high frequency statistics invariance principle mixing convergence scaling limits self-similarity small-time behaviour

Citation

Ivanovs, Jevgenijs. Zooming in on a Lévy process at its supremum. Ann. Appl. Probab. 28 (2018), no. 2, 912--940. doi:10.1214/17-AAP1320. https://projecteuclid.org/euclid.aoap/1523433628


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