Exponential convergence in probability for empirical means of Lévy processes

Let （Xt）t≥0 be a Lévy process taking values in R^d with absolutely continuous marginal distributions. Given a real measurable function f on R^d in Kato＇s class, we show that the empirical mean 1/t ∫ f（Xs）ds converges to a constant z in probability with an exponential rate if and only if f has a uniform mean z. This result improves a classical result of Kahane et al. and generalizes a similar result of L. Wu from the Brownian Motion to general Lévy processes.     

Lower functions for asymmetric Lévy processes

Summary Let {X _t } be a ¹ process with stationary independent increments and its Lévy measurev be given byv{yy>x}=x ^–L ₁ (x), v{yy<–x}=x ^–L ₂ (x) whereL ₁,L ₂ are slowly varying at 0 and and 0<1. We construct two types of a nondecreasing functionh(t) depending on 0<<1 or =1 such that lim inf a.s. ast 0 andt for some positive finite constantC.This research is partialy supported by a grant from Korea University     

Optimal importance sampling for Lévy processes

We develop importance sampling estimators for Monte Carlo pricing of European and path-dependent options in models driven by Lévy processes. Using results from the theory of large deviations for processes with independent increments, we compute an explicit asymptotic approximation for the variance of the pay-off under a time-dependent Esscher-style change of measure. Minimizing this asymptotic variance using convex duality, we then obtain an importance sampling estimator of the option price. We show that our estimator is logarithmically optimal among all importance sampling estimators. Numerical tests in the variance gamma model show consistent variance reduction with a small computational overhead.     

Abrupt Lévy processes

Among Lévy processes with unbounded variation, we distinguish the abrupt ones, which are characterised by infinitely sharp extrema. Stable processes with parameter α>1 and creeping Lévy processes are abrupt. We give a characterisation of abrupt processes and study their Dini derivatives at all points of their trajectories.     

Approximations for the distributions of bounded variation Lévy processes

We propose a feasible method for approximating the marginal distributions and densities of a bounded variation Lévy process using polynomial expansions. We provide a fast recursive formula for approximating the coefficients of the expansions and estimating the order of the approximation error. Our expansions are shown to be the exact counterpart of successive approximations of the Lévy process by compound Poisson processes previously proposed by, for instance, Barndorff-Nielsen and Hubalek (2008) [Barndorff-Nielsen, O.E., Hubalek, F., 2008. Probability measures, Lévy measures, and analyticity in time. Bernoulli 3 (14), 764–790] and others, and hence, give an answer to an open problem raised therein.     

Subexponential loss rate asymptotics for Lévy processes

We consider a Lévy process reflected in barriers at 0 and K > 0. The loss rate is the mean of the local time at K at time 1 when the process is started in stationarity, and is a natural continuous-time analogue of the stationary expected loss rate for a reflected random walk. We derive asymptotics for the loss rate when K tends to infinity, when the mean of the Lévy process is negative and the positive jumps are subexponential. In the course of this derivation, we achieve a formula, which is a generalization of the celebrated Pollaczeck-Khinchine formula.     

Nonlinear stochastic integrals for hyperfinite Lévy processes

I develop a notion of nonlinear stochastic integrals for hyperfinite Lévy processes and use it to find exact formulas for expressions which are intuitively of the form and , where l is a Lévy process. These formulas are then applied to geometric Lévy processes, infinitesimal transformations of hyperfinite Lévy processes, and to minimal martingale measures. Some of the central concepts and results are closely related to those found in S. Cohen’s work on stochastic calculus for processes with jumps on manifolds, and the paper may be regarded as a reworking of his ideas in a different setting and with totally different techniques.     

Nonparametric estimation for irregularly sampled Lévy processes

We consider nonparametric statistical inference for Lévy processes sampled irregularly, at low frequency. The estimation of the jump dynamics as well as the estimation of the distributional density are investigated. Non-asymptotic risk bounds are derived and the corresponding rates of convergence are discussed under global as well as local regularity assumptions. Moreover, minimax optimality is proved for the estimator of the jump measure. Some numerical examples are given to illustrate the practical performance of the estimation procedure.     

Test for autocorrelation change in discretely observed Ornstein-Uhlenbeck processes driven by Lévy processes

In this paper,we consider the problem of testing for an autocorrelation change in discretely observed Ornstein-Uhlenbeck processes driven by Lévy processes.For a test,we propose a class of test statistics constructed by an iterated cumulative sums of squares of the difference between two adjacent observations.It is shown that each of the test statistics weakly converges to the supremum of the square of a Brownian bridge.The test statistics are evaluated by some empirical results.     

Local Malliavin calculus for Lévy processes and applications

The Malliavin derivative operator for the Poisson process introduced by Carlen and Pardoux [Differential calculus and integration by parts on a Poisson space, in Stochastics, Algebra and Analysis in Classical and Quantum Dynamics, S. Albeverio et al. (eds), Kluwer, Dordrecht, 1990, pp. 63–73] is extended to Lévy processes. It is a true derivative operator (in the sense that it satisfies the chain rule), and we deduce a sufficient condition for the absolute continuity of functionals of the Lévy process. As an application, we analyse the absolute continuity of the law of the solution of some stochastic differential equations with jumps.     

Asymptotic results for exponential functionals of Lévy processes

The asymptotic behavior of expectations of some exponential functionals of a Lévy process is studied. The key point is the observation that the asymptotics only depend on the sample paths with slowly decreasing local infimum. We give not only the convergence rate but also the expression of the limiting coefficient. The latter is given in terms of some transformations of the Lévy process based on its renewal function. As an application, we give an exact evaluation of the decay rate of the survival probability of a continuous-state branching process in random environment with stable branching mechanism.     

Lévy processes and quasi-shuffle algebras

We investigate the algebra of repeated integrals of semimartingales. We prove that a minimal family of semimartingales generates a quasi-shuffle algebra. In essence, to fulfil the minimality criterion, first, the family must be a minimal generator of the algebra of repeated integrals generated by its elements and by quadratic covariation processes recursively constructed from the elements of the family. Second, recursively constructed quadratic covariation processes may lie in the linear span of previously constructed quadratic covariation processes and of the family, but may not lie in the linear span of repeated integrals of these. We prove that a finite family of independent Lévy processes that have finite moments generates a minimal family. Key to the proof are the Teugels martingales and a strong orthogonalization of them. We conclude that a finite family of independent Lévy processes forms a quasi-shuffle algebra. We discuss important potential applications to constructing efficient numerical methods for the strong approximation of stochastic differential equations driven by Lévy processes.     

Branching particle systems in spectrally one-sided Lévy processes

We investigate the branching structure coded by the excursion above zero of a spectrally positive Lévy process. The main idea is to identify the level of the Lévy excursion as the time and count the number of jumps upcrossing the level. By regarding the size of a jump as the birth site of a particle, we construct a branching particle system in which the particles undergo nonlocal branchings and deterministic spatial motions to the left on the positive half line. A particle is removed from the system as soon as it reaches the origin. Then a measure-valued Borel right Markov process can be defined as the counting measures of the particle system. Its total mass evolves according to a Crump- Mode-Jagers (CMJ) branching process and its support represents the residual life times of those existing particles. A similar result for spectrally negative Lévy process is established by a time reversal approach. Properties of the measurevalued processes can be studied via the excursions for the corresponding Lévy processes.     

A note on the mean correcting martingale measure for geometric Lévy processes

A martingale measure is constructed by using a mean correcting transform for the geometric Lévy processes model. It is shown that this measure is the mean correcting martingale measure if and only if, in the Lévy process, there exists a continuous Gaussian part. Although this measure cannot be equivalent to a physical probability for a pure jump Lévy process, we show that a European call option price under this measure is still arbitrage free.     

Lebesgue measure of the range of additive Lévy processes

We prove a theorem on the Lebesgue measure of the range of additive Lévy Processes and then use this theorem to remove Condition (1.3) of Theorem 1.5 of Khoshnevisan et al. (Ann Probab 31:1097–1141, 2003).     

On the refracted–reflected spectrally negative Lévy processes

We study a combination of the refracted and reflected Lévy processes. Given a spectrally negative Lévy process and two boundaries, it is reflected at the lower boundary while, whenever it is above the upper boundary, a linear drift at a constant rate is subtracted from the increments of the process. Using the scale functions, we compute the resolvent measure, the Laplace transform of the occupation times as well as other fluctuation identities that will be useful in applied probability including insurance, queues, and inventory management.     

Quantum Lévy processes on dual groups

We present a theory of quantum (non-commutative) Lévy processes on dual groups which generalizes the theory of Lévy processes on bialgebras. It follows from a result of N. Muraki that there exist exactly 5 notions of non-commutative ‘positive’ stochastic independence. We show that one can associate a commutative bialgebra with each pair consisting of a dual group and one of the 5 notions of independence. This construction is related to a construction of U. Franz. Our construction has the advantage that the important case of free independence is included. We show that Lévy processes are given by their generators which are precisely the conditonally positive linear functionals on the dual group.Supported by the European Research Training Network “Quantum Probability with Applications to Physics, Information Theory and Biology”