Convex rearrangements of Lévy processes

Youri Davydov; Emmanuel Thilly

ESAIM: Probability and Statistics (2007)

  • Volume: 11, page 161-172
  • ISSN: 1292-8100

Abstract

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In this paper we study asymptotic behavior of convex rearrangements of Lévy processes. In particular we obtain Glivenko-Cantelli-type strong limit theorems for the convexifications when the corresponding Lévy measure is regularly varying at + with exponent α ∈ (1,2).

How to cite

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Davydov, Youri, and Thilly, Emmanuel. "Convex rearrangements of Lévy processes." ESAIM: Probability and Statistics 11 (2007): 161-172. <http://eudml.org/doc/250127>.

@article{Davydov2007,
abstract = { In this paper we study asymptotic behavior of convex rearrangements of Lévy processes. In particular we obtain Glivenko-Cantelli-type strong limit theorems for the convexifications when the corresponding Lévy measure is regularly varying at + with exponent α ∈ (1,2).},
author = {Davydov, Youri, Thilly, Emmanuel},
journal = {ESAIM: Probability and Statistics},
keywords = {Convex rearrangements; Lévy processes; strong laws; Lorenz curve; regularly varying functions.; convex rearrangements; strong laws; regularly varying functions},
language = {eng},
month = {3},
pages = {161-172},
publisher = {EDP Sciences},
title = {Convex rearrangements of Lévy processes},
url = {http://eudml.org/doc/250127},
volume = {11},
year = {2007},
}

TY - JOUR
AU - Davydov, Youri
AU - Thilly, Emmanuel
TI - Convex rearrangements of Lévy processes
JO - ESAIM: Probability and Statistics
DA - 2007/3//
PB - EDP Sciences
VL - 11
SP - 161
EP - 172
AB - In this paper we study asymptotic behavior of convex rearrangements of Lévy processes. In particular we obtain Glivenko-Cantelli-type strong limit theorems for the convexifications when the corresponding Lévy measure is regularly varying at + with exponent α ∈ (1,2).
LA - eng
KW - Convex rearrangements; Lévy processes; strong laws; Lorenz curve; regularly varying functions.; convex rearrangements; strong laws; regularly varying functions
UR - http://eudml.org/doc/250127
ER -

References

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