Supremum penalizations for Lévy processes

2025/03/16 by Takeda, Shosei
#60F05 (Primary) 60G51 #60J25 (Secondary) #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.2503.12564

Abstract

Several long-time limit theorems of one-dimensional Lévy processes weighted and normalized by functions of its supremum are studied. The long-time limits are taken via the families of exponential times and that of constant times, called exponential clock and constant clock, respectively.

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