2,419 research outputs found
An explicit Skorokhod embedding for spectrally negative Levy processes
We present an explicit solution to the Skorokhod embedding problem for
spectrally negative L\'evy processes. Given a process and a target measure
satisfying an explicit admissibility condition we define functions
\f_\pm such that the stopping time T = \inf\{t>0: X_t \in \{-\f_-(L_t),
\f_+(L_t)\}\} induces . We also treat versions of which take
into account the sign of the excursion straddling time . We prove that our
stopping times are minimal and we describe criteria under which they are
integrable. We compare our solution with the one proposed by Bertoin and Le Jan
(1992) and we compute explicitly their general quantities in our setup.
Our method relies on some new explicit calculations relating scale functions
and the It\^o excursion measure of . More precisely, we compute the joint
law of the maximum and minimum of an excursion away from 0 in terms of the
scale function.Comment: This is the final version of the paper that has been accepted for
publication in J. Theor. Probab. In this new version several typos were
corrected and Lemma 6(iii) [now Lemma 5(iii)] was modified. The original
publication is available at http://www.springerlink.co
Asymptotic independence of three statistics of maximal segmental scores
Let be an iid sequence with negative mean. The
-segment is the subsequence and its
\textit{score} is given by . Let be the
largest score of any segment ending at time , the largest score of
any segment in the sequence , and the overshoot of
the score over a level at the first epoch the score of such a size arises.
We show that, under the Cram\'er assumption on , asymptotic independence
of the statistics , and holds as
. Furthermore, we establish a novel Spitzer-type
identity characterising the limit law in terms of the laws of
-scores. As corollary we obtain: (1) a novel factorization of the
exponential distribution as a convolution of and the stationary
distribution of ; (2) if (where is the
Cram\'er coefficient), our results, together with the classical theorem of
Iglehart \cite{Iglehart}, yield the existence and explicit form of the joint
weak limit of .Comment: 13 pages, no figure
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