Supremum penalizations for Lévy processes

Published 16 Mar 2025 in math.PR | (2503.12564v1)

Abstract: Several long-time limit theorems of one-dimensional L\'evy processes weighted and normalized by functions of its supremum are studied. The long-time limits are taken via the families of exponential times and that of constant times, called exponential clock and constant clock, respectively.

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Shosei Takeda

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