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arXiv · 1904.06162

Zooming-in on a Lévy process: Failure to observe threshold exceedance over a dense grid

Krzysztof Bisewski·Jevgenijs Ivanovs
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Abstract

For a Lévy process $X$ on a finite time interval consider the probability that it exceeds some fixed threshold $x>0$ while staying below $x$ at the points of a regular grid. We establish exact asymptotic behavior of this probability as the number of grid points tends to infinity. We assume that $X$ has a zooming-in limit, which necessarily is $1/α$-self-similar Lévy process with $α\in(0,2]$, and restrict to $α>1$. Moreover, the moments of the difference of the supremum and the maximum over the grid points are analyzed and their asymptotic behavior is derived. It is also shown that the zooming-in assumption implies certain regularity properties of the ladder process, and the decay rate of the left tail of the supremum distribution is determined.

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Krzysztof Bisewski, Jevgenijs Ivanovs. 2020-06-29. Zooming-in on a Lévy process: Failure to observe threshold exceedance over a dense grid. https://doi.org/10.1214/20-ejp513

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