2022/06/30 by Ulises Pérez Cendejas, Cendejas, Ulises Pérez
Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Mathematical Approximation and Integration #Nonlinear Partial Differential Equations #Probability (math.PR) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.2206.15013
openalex publication_date 2022/06/30 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We study the extremal processes through Feller semigroups theory from which it is possible to observe some parallelism with subordinators. Consequently, we observe that an extremal process possesses concepts analogous to those of Laplace exponent and Lévy measure of a subordinator. This approach also yields a short proof of the invariance principle of the extremal processes.