Convex minorants and the fluctuation theory of Lévy processes

Add to your list(s) Download to your calendar using vCal

• Jorge Gonzalez-Cazares (University of Warwick, The Alan Turing Institute)
• Thursday 21 April 2022, 15:00-15:30
• Seminar Room 1, Newton Institute.

If you have a question about this talk, please contact nobody.

FD2W03 - Optimal control and fractional dynamics

We establish a novel characterisation of the law of the convex minorant of any Lévy process. Our self-contained elementary proof is based on the analysis of piecewise linear convex functions and requires only very basic properties of Lévy processes. Our main result provides a new simple and self-contained approach to the fluctuation theory of Lévy processes, circumventing local time and excursion theory. Easy corollaries include classical theorems, such as Rogozin’s regularity criterion, Spitzer’s identities and the Wiener-Hopf factorisation.

This talk is part of the Isaac Newton Institute Seminar Series series.

This talk is included in these lists:

• All CMS events
• Featured lists
• INI info aggregator
• Isaac Newton Institute Seminar Series
• School of Physical Sciences
• Seminar Room 1, Newton Institute
• bld31

Note that ex-directory lists are not shown.