Large Excursions of Reflected Lévy Processes: Local Asymptotics

This paper establishes uniform local large-deviation asymptotics for excursions of a Lévy process $X$ with negative drift $-β$ and $α$-locally regularly varying Lévy measure $ν$, reflected at its running infimum. Under the excursion measure $\underline n$, we first prove that the lifetime $ζ$ and height $\overlineε$ satisfy \begin{equation*} \underline{n}\big(ζ\in(t,t+δ] \big) \sim \underline{n}(\overlineε\in\big (βt,βt+βδ]\big) \sim\underline{n}(ζ)\cdotν\big((βt,βt+βδ]\big), \quad \mbox{as } t\to\infty, \end{equation*} uniformly in $δ\in[δ_0,\infty]$ for every $δ_0>0$. In contrast to the asymptotic equivalence of the corresponding tail events, fixed-width lifetime and height windows have asymptotically negligible relative overlap. Nevertheless, for any positive function $θ$ satisfying $|X_t+βt|/θ_t\to0$ in probability, \begin{equation*} \underline n\big( |\overlineε-βt| \leq θ_t \,\big|\, ζ\in (t,t+δ] \big) \sim \underline n\big( |ζ-t| \leq θ_t \,\big|\, \overlineε\in (βt,βt+βδ] \big) \to 1 . \end{equation*} For conditioning windows of sublinear width bounded away from zero, both conditional excursion laws converge under spatial rescaling to a single-jump process with deterministic jump size and random arrival time determined by the integrated excursion survival function. An additional time rescaling yields the same deterministic linear descent killed at zero. Finally, we identify the joint limiting distribution of the unscaled pre-terminal position and terminal overshoot, including continuous and discontinuous termination.

Authors

Publication Details

Journal
arXiv (Cornell University)
Published
2026-10-26
DOI
https://doi.org/10.48550/arxiv.2610.35750
Primary Topic
Probability and Risk Models
Type
preprint
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preprint

Large Excursions of Reflected Lévy Processes: Local Asymptotics

Hao Wu, Wei Xu
arXiv (Cornell University)
Probability and Risk Models
preprint

Large Excursions of Reflected Lévy Processes: Local Asymptotics

Hao Wu, Wei Xu
preprint en

Abstract

This paper establishes uniform local large-deviation asymptotics for excursions of a Lévy process $X$ with negative drift $-β$ and $α$-locally regularly varying Lévy measure $ν$, reflected at its running infimum. Under the excursion measure $\underline n$, we first prove that the lifetime $ζ$ and height $\overlineε$ satisfy \begin{equation*} \underline{n}\big(ζ\in(t,t+δ] \big) \sim \underline{n}(\overlineε\in\big (βt,βt+βδ]\big) \sim\underline{n}(ζ)\cdotν\big((βt,βt+βδ]\big), \quad \mbox{as } t\to\infty, \end{equation*} uniformly in $δ\in[δ_0,\infty]$ for every $δ_0>0$. In contrast to the asymptotic equivalence of the corresponding tail events, fixed-width lifetime and height windows have asymptotically negligible relative overlap. Nevertheless, for any positive function $θ$ satisfying $|X_t+βt|/θ_t\to0$ in probability, \begin{equation*} \underline n\big( |\overlineε-βt| \leq θ_t \,\big|\, ζ\in (t,t+δ] \big) \sim \underline n\big( |ζ-t| \leq θ_t \,\big|\, \overlineε\in (βt,βt+βδ] \big) \to 1 . \end{equation*} For conditioning windows of sublinear width bounded away from zero, both conditional excursion laws converge under spatial rescaling to a single-jump process with deterministic jump size and random arrival time determined by the integrated excursion survival function. An additional time rescaling yields the same deterministic linear descent killed at zero. Finally, we identify the joint limiting distribution of the unscaled pre-terminal position and terminal overshoot, including continuous and discontinuous termination.

arXiv (Cornell University)
Probability and Risk Models
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