A Lévy-derived process seen from its supremum and max-stable processes
Détails
ID Serval
serval:BIB_FF0DF2F3E1EB
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
A Lévy-derived process seen from its supremum and max-stable processes
Périodique
Electronic Journal of Probability
ISSN
1083-6489
Statut éditorial
Publié
Date de publication
2016
Peer-reviewed
Oui
Volume
21
Numéro
14
Pages
NA
Langue
anglais
Résumé
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.
representation with spectral functions given by the conditioned Lévy processes.
Mots-clé
Conditionally positive process, Itô’s excursion theory, Mixed moving maxima representation, Stationary particle system, Kuznetsov measure
Web of science
Open Access
Oui
Création de la notice
26/02/2016 23:16
Dernière modification de la notice
20/08/2019 16:29