Functional limit theorems for Lévy processes satisfying Cramér's condition

Details Functional limit theorems for Lévy processes satisfying Cramér's condition Functional limit theorems for Lévy processes satisfying Cramér's condition

2011-04-25

arxiv.org/abs/1104.4733v1

Mathematics

Probability

Scientific paper

We consider a L\'evy process that starts from $x<0$ and conditioned on having a positive maximum. When Cram\'er's condition holds, we provide two weak limit theorems as $x\to -\infty$ for the law of the (two-sided) path shifted at the first instant when it enters $(0,\infty)$, respectively shifted at the instant when its overall maximum is reached. The comparison of these two asymptotic results yields some interesting identities related to time-reversal, insurance risk, and self-similar Markov processes.

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