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On suprema of Lévy processes and application in risk theory

Renming SongZoran Vondraček — 2008

Annales de l'I.H.P. Probabilités et statistiques

Let =− where is a general one-dimensional Lévy process and an independent subordinator. Consider the times when a new supremum of is reached by a jump of the subordinator . We give a necessary and sufficient condition in order for such times to be discrete. When this is the case and drifts to −∞, we decompose the absolute supremum of at these times, and derive a Pollaczek–Hinchin-type formula for the distribution function of the supremum.

Minimal thinness for subordinate Brownian motion in half-space

Panki KimRenming SongZoran Vondraček — 2012

Annales de l’institut Fourier

We study minimal thinness in the half-space H : = { x = ( x ˜ , x d ) : x ˜ d - 1 , x d > 0 } for a large class of subordinate Brownian motions. We show that the same test for the minimal thinness of a subset of H below the graph of a nonnegative Lipschitz function is valid for all processes in the considered class. In the classical case of Brownian motion this test was proved by Burdzy.

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