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arXiv:2207.12433 [math.PR]AbstractReferencesReviewsResources

Hölder continuity of the convex minorant of a Lévy process

David Bang, Jorge González Cázares, Aleksandar Mijatović

Published 2022-07-25Version 1

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.

Comments: 10 pages, short YouTube presentation: https://youtu.be/PKvSg2tKqfs
Categories: math.PR
Subjects: 60G51, 60F20
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