Related papers: On Future Drawdowns of L\'evy processes

Continuous time random walks combining diffusive and ballistic regimes are introduced to describe a class of L\'evy walks on lattices. By including exponentially-distributed waiting times separating the successive jump events of a walker,…

The aim of this paper is to develop estimation and inference methods for the drift parameters of multivariate L\'evy-driven continuous-time autoregressive processes of order $p\in\mathbb{N}$. Starting from a continuous-time observation of…

Let $X_t^\sharp$ be a multivariate process of the form $X_t =Y_t - Z_t$, $X_0=x$, killed at some terminal time $T$, where $Y_t$ is a Markov process having only jumps of the length smaller than $\delta$, and $Z_t$ is a compound Poisson…

In this paper we present new theoretical results on optimal estimation of certain random quantities based on high frequency observations of a L\'evy process. More specifically, we investigate the asymptotic theory for the conditional mean…

What is the analogue of L\'evy processes for random surfaces? Motivated by scaling limits of random planar maps in random geometry, we introduce and study L\'evy looptrees and L\'evy maps. They are defined using excursions of general L\'evy…

Given a sample from a discretely observed L\'evy process $X=(X_t)_{t\geq 0}$ of the finite jump activity, the problem of nonparametric estimation of the L\'evy density $\rho$ corresponding to the process $X$ is studied. An estimator of…

We provide asymptotic results and develop high frequency statistical procedures for time-changed L\'evy processes sampled at random instants. The sampling times are given by first hitting times of symmetric barriers whose distance with…

Let $\{X_i(t),t\ge0\}, 1\le i\le n$ be mutually independent centered Gaussian processes with almost surely continuous sample paths. We derive the exact asymptotics of $$ P\left(\exists_{t \in [0,T]} \forall_{i=1 ... n} X_i(t)> u \right) $$…

The purpose of this article is to introduce a new L\'evy process, termed Variance Gamma++ process, to model the dynamic of assets in illiquid markets. Such a process has the mathematical tractability of the Variance Gamma process and is…

We characterize the class of exchangeable Feller processes evolving on partitions with boundedly many blocks. In continuous-time, the jump measure decomposes into two parts: a $\sigma$-finite measure on stochastic matrices and a collection…

Under an appropriate regular variation condition, the affinely normalized partial sums of a sequence of independent and identically distributed random variables converges weakly to a non-Gaussian stable random variable. A functional version…

For a general c\`adl\`ag L\'evy process on a separable Banach space $V$ we estimate values of $\inf_{Y\in{\cal A}_X} \mathbb{E}\left\{ \psi\left( \Vert X - Y \Vert_\infty\right) + \mathrm{TV}(Y[0,T]) \right\}$, where ${\cal A}_X$ is the…

We consider a one dimensional asymmetric random walk whose jumps are identical, independent and drawn from a distribution \phi(\eta) displaying asymmetric power law tails (i.e. \phi(\eta) \sim c/\eta^{\alpha +1} for large positive jumps and…

We consider a dynamical system described by the differential equation $\dot{Y}_t=-U'(Y_t)$ with a unique stable point at the origin. We perturb the system by the L\'evy noise of intensity $\varepsilon$ to obtain the stochastic differential…

Consider a one dimensional critical branching L\'{e}vy process $((Z_t)_{t\geq 0}, \mathbb {P}_x)$. Assume that the offspring distribution either has finite second moment or belongs to the domain of attraction to some $\alpha$-stable…

The time at which a one-dimensional continuous strong Markov process attains a boundary point of its state space is a discontinuous path functional and it is, therefore, unclear whether the exit time can be approximated by hitting times of…

Let $(L_t)_{t \geq 0}$ be a $k$-dimensional L\'evy process and $\sigma: \mathbb{R}^d \to \mathbb{R}^{d \times k}$ a continuous function such that the L\'evy-driven stochastic differential equation (SDE) $$dX_t = \sigma(X_{t-}) \, dL_t,…

Modelling extreme events and heavy-tailed phenomena is central to building reliable predictive systems in domains such as finance, climate science, and safety-critical AI. While L\'evy processes provide a natural mathematical framework for…

A maximal inequality is an inequality which involves the (absolute) supremum $\sup_{s\leq t}|X_{s}|$ or the running maximum $\sup_{s\leq t}X_{s}$ of a stochastic process $(X_t)_{t\geq 0}$. We discuss maximal inequalities for several classes…

For a multivariate L\'evy process satisfying the Cram\'er moment condition and having a drift vector with at least one negative component, we derive the exact asymptotics of the probability of ever hitting the positive orthant that is being…