Two-point local time penalizations with various clocks for Lévy processes

2024/04/10 by Kohki Iba, Iba, Kohki, Kouji Yano +1 · 1 citation
Economics, Econometrics and Finance · Decision Sciences · Mathematics · #Stochastic processes and financial applications #Probability and Risk Models #Stochastic processes and statistical mechanics

paper · pdf · doi:10.48550/arxiv.2404.06759

Abstract

Long-time limit of one-dimensional Lévy processes weighted and normalized with respect to the exponential functional of two-point local times are studied. The limit processes may vary according to the choice of random clocks.

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