دورية أكاديمية
Lévy processes conditioned to stay in a half-space with applications to directional extremes
| العنوان: | Lévy processes conditioned to stay in a half-space with applications to directional extremes |
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| المؤلفون: | Jevgenijs Ivanovs, Jakob D. Thøstesen |
| المصدر: | Modern Stochastics: Theory and Applications, Vol 10, Iss 1, Pp 59-75 (2022) |
| بيانات النشر: | VTeX, 2022. |
| سنة النشر: | 2022 |
| المجموعة: | LCC:Applied mathematics. Quantitative methods LCC:Mathematics |
| مصطلحات موضوعية: | Conditioning to stay positive, directional extremes, exchangeability, local behavior, Sparre Andersen identity, Applied mathematics. Quantitative methods, T57-57.97, Mathematics, QA1-939 |
| الوصف: | This paper provides a multivariate extension of Bertoin’s pathwise construction of a Lévy process conditioned to stay positive or negative. Thus obtained processes conditioned to stay in half-spaces are closely related to the original process on a compact time interval seen from its directional extremal points. In the case of a correlated Brownian motion the law of the conditioned process is obtained by a linear transformation of a standard Brownian motion and an independent Bessel-3 process. Further motivation is provided by a limit theorem corresponding to zooming in on a Lévy process with a Brownian part at the point of its directional infimum. Applications to zooming in at the point furthest from the origin are envisaged. |
| نوع الوثيقة: | article |
| وصف الملف: | electronic resource |
| اللغة: | English |
| تدمد: | 2351-6046 2351-6054 |
| Relation: | https://doaj.org/toc/2351-6046; https://doaj.org/toc/2351-6054 |
| DOI: | 10.15559/22-VMSTA217 |
| URL الوصول: | https://doaj.org/article/a1822021e3e544978801793455874953 |
| رقم الأكسشن: | edsdoj.1822021e3e544978801793455874953 |
| قاعدة البيانات: | Directory of Open Access Journals |
Full Text Finder | تدمد: | 23516046 23516054 |
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| DOI: | 10.15559/22-VMSTA217 |