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research article

A Levy-derived process seen from its supremum and max-stable processes

Engelke, Sebastian  
•
Ivanovs, Jevgenijs
2016
Electronic Journal Of Probability

We consider a process Z on the real line composed from a Levy process and its exponentially tilted version killed with arbitrary rates and give an expression for the joint law of the supremum (Z) over bar, its time T, and the process Z(T + center dot) - (Z) over bar. This expression is in terms of the laws of the original and the tilted Levy processes conditioned to stay negative and positive respectively. The result is used to derive a new representation of stationary particle systems driven by Levy processes. In particular, this implies that a max-stable process arising from Levy processes admits a mixed moving maxima representation with spectral functions given by the conditioned Levy processes.

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Type
research article
DOI
10.1214/16-Ejp1112
Web of Science ID

WOS:000378990000014

Author(s)
Engelke, Sebastian  
Ivanovs, Jevgenijs
Date Issued

2016

Publisher

Univ Washington, Dept Mathematics

Published in
Electronic Journal Of Probability
Volume

21

Start page

14

Subjects

conditionally positive process

•

Ito's excursion theory

•

mixed moving maxima representation

•

stationary particle system

•

Kuznetsov measure

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
STAT  
Available on Infoscience
October 18, 2016
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/130123
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