Lipschitz Minorants of Lévy Processes

Probability Seminar
Feb 26, 2020 3:10pm to 4:00pm
330 Evans Hall
Happening As Scheduled
The \alpha-Lipschitz minorant of a function is the greatest \alpha-Lipschitz function dominated pointwise by the function, should such a function exist. We will discuss this construction when the function is a sample path of a (2-sided) Lévy process. The contact set is the random set of times when the sample path touches the minorant. This is a stationary, regenerative set. We will provide a...
Mehdi Ouaki, U.C. Berkeley