Supremum penalizations for L\'{e}vy processes

Several long-time limit theorems of one-dimensional L\'evy processes weighted and normalized by functions of its supremum are studied. The long-time limits are taken via the families of exponential times and that of constant times, called exponential clock and constant clock, respectively.

Publication Details

Journal
ArXiv.org
Published
2025-03-16
Primary Topic
Probability and Risk Models
Type
article
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article

Supremum penalizations for L\'{e}vy processes

ArXiv.org
Probability and Risk Models
article

Supremum penalizations for L\'{e}vy processes

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Abstract

Several long-time limit theorems of one-dimensional L\'evy processes weighted and normalized by functions of its supremum are studied. The long-time limits are taken via the families of exponential times and that of constant times, called exponential clock and constant clock, respectively.

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Probability and Risk Models
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Supremum penalizations for L\'{e}vy processes · ArXiv.org (2025) | TGRS Research Map | TGRS