On the infimum attained by a reflected Lévy process
✍ Scribed by K. Dębicki; K. M. Kosiński; M. Mandjes
- Publisher
- Springer US
- Year
- 2011
- Tongue
- English
- Weight
- 483 KB
- Volume
- 70
- Category
- Article
- ISSN
- 0257-0130
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## Abstract The classical notion of Lévy process is generalized to one that takes as its values probabilities on a first or‐der model equipped with a commutative semigroup. This is achieved by applying a convolution product on definable probabilities and the infinite divisibility with respect to it
We explore the statistical behavior of the order statistics of the ights of one-sided LÃ evy processes (OLPs). We begin with the study of the extreme ights of general OLPs, and then focus on the class of selfsimilar processes, investigating the following issues: (i) the inner hierarchy of the extrem