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
- Field-Weighted Citation Impact
- 0.00