A Lévy-derived process seen from its supremum and max-stable processes

Details

Serval ID
serval:BIB_FF0DF2F3E1EB
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
A Lévy-derived process seen from its supremum and max-stable processes
Journal
Electronic Journal of Probability
Author(s)
Engelke S., Ivanovs J.
ISSN
1083-6489
Publication state
Published
Issued date
2016
Peer-reviewed
Oui
Volume
21
Number
14
Pages
NA
Language
english
Abstract
We consider a process Z on the real line composed from a Lévy process and its exponentially tilted version killed with arbitrary rates and give an expression for the joint law of the supremum Z, its time T, and the process Z(T +·)−Z. This expression is in terms of the laws of the original and the tilted Lévy processes conditioned to stay negative and positive respectively. The result is used to derive a new representation of stationary particle systems driven by Lévy processes. In particular, this implies that a max-stable process arising from Lévy processes admits a mixed moving maxima
representation with spectral functions given by the conditioned Lévy processes.
Keywords
Conditionally positive process, Itô’s excursion theory, Mixed moving maxima representation, Stationary particle system, Kuznetsov measure
Web of science
Open Access
Yes
Create date
26/02/2016 23:16
Last modification date
20/08/2019 16:29
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