When is the convex hull of a Lévy process smooth?

David Bang, Jorge Ignacio González Cázares, Aleksandar Mijatović

Published 2022-05-28Version 1

We characterise, in terms of their transition laws, the class of one-dimensional L\'evy processes whose graph has a continuously differentiable (planar) convex hull. We show that this phenomenon is exhibited by a broad class of infinite variation L\'evy processes and depends subtly on the behaviour of the L\'evy measure at zero. We introduce a class of strongly eroded L\'evy processes, whose Dini derivatives vanish at every local minimum of the trajectory for all perturbations with a linear drift, and prove that these are precisely the processes with smooth convex hulls. We study how the smoothness of the convex hull can break and construct examples exhibiting a variety of smooth/non-smooth behaviours. Finally, we conjecture that an infinite variation L\'evy process is either strongly eroded or abrupt, a claim implied by Vigon's point-hitting conjecture. In the finite variation case, we characterise the points of smoothness of the hull in terms of the L\'evy measure.