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arXiv · 2503.12564

Supremum penalizations for L\'{e}vy processes

Shosei Takeda
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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. 2025-03-16. Supremum penalizations for L\'{e}vy processes. https://arxiv.org/abs/2503.12564

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