Lipschitz Minorants of Lévy Processes

Lipschitz Minorants of Lévy Processes

Probability Seminar
Feb 26, 2020, 03:10 PM - 04:00 PM | 330 Evans Hall | Happening As Scheduled
Mehdi Ouaki, U.C. Berkeley
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...