When is the convex hull of a L\'evy path smooth?
| Autor: | Bang, David, Cázares, Jorge Ignacio González, Mijatović, Aleksandar |
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| Rok vydání: | 2022 |
| Předmět: | |
| Druh dokumentu: | Working Paper |
| Popis: | We characterise, in terms of their transition laws, the class of one-dimensional L\'evy processes whose graph has a continuously differentiable (planar) convex hull. We show that this phenomenon is exhibited by a broad class of infinite variation L\'evy processes and depends subtly on the behaviour of the L\'evy measure at zero. We introduce a class of strongly eroded L\'evy processes, whose Dini derivatives vanish at every local minimum of the trajectory for all perturbations with a linear drift, and prove that these are precisely the processes with smooth convex hulls. We study how the smoothness of the convex hull can break and construct examples exhibiting a variety of smooth/non-smooth behaviours. Finally, we conjecture that an infinite variation L\'evy process is either strongly eroded or abrupt, a claim implied by Vigon's point-hitting conjecture. In the finite variation case, we characterise the points of smoothness of the hull in terms of the L\'evy measure. Comment: 33 pages, 3 figures, YouTube video on: https://youtu.be/qPxBqaq2AsQ |
| Databáze: | arXiv |
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