5 citations · 10 across the 4 of their papers we have counts for
4 papers
How smooth can the convex hull of a Lévy path be?
David Bang, Jorge González Cázares, Aleksandar Mijatović
We describe the rate of growth of the derivative of the convex minorant of a Lévy path at times where increases continuously. Since the convex minorant is piecewise linea…
When is the convex hull of a Lévy path smooth?
David Bang, Jorge Ignacio González Cázares, Aleksandar Mijatović
We characterise, in terms of their transition laws, the class of one-dimensional Lévy processes whose graph has a continuously differentiable (planar) convex hull. We show that thi…
Asymptotic shape of the concave majorant of a Lévy process
David Bang, Jorge Ignacio González Cázares, Aleksandar Mijatović
We establish distributional limit theorems for the shape statistics of a concave majorant (i.e. the fluctuations of its length, its supremum, the time it is attained and its value…
A Gaussian approximation theorem for Lévy processes
David Bang, Jorge Ignacio González Cázares, Aleksandar Mijatović
Without higher moment assumptions, this note establishes the decay of the Kolmogorov distance in a central limit theorem for Lévy processes. This theorem can be viewed as a continu…