H\"older continuity of the convex minorant of a L\'evy process

Jorge González Cázares; David Kramer-Bang; Aleksandar Mijatović

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arXiv · 2207.12433

H\"older continuity of the convex minorant of a L\'evy process

Jorge González Cázares·David Kramer-Bang·Aleksandar Mijatović

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Abstract

We characterise the H\"older continuity of the convex minorant of most L\'evy processes. The proof is based on a novel connection between the path properties of the L\'evy process at zero and the boundedness of the set of $r$-slopes of the convex minorant.

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Jorge González Cázares, David Kramer-Bang, Aleksandar Mijatović. 2022-07-25. H\"older continuity of the convex minorant of a L\'evy process. https://arxiv.org/abs/2207.12433

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