Median, Concentration and Fluctuation for Lévy Processes

C. Houdré, P. Marchal

Published 2006-07-03Version 1

We estimate a median of $f(X_t)$ where $f$ is a Lipschitz function, $X$ is a L\'evy process and $t$ an arbitrary time. This leads to concentration inequalities for $f(X_t)$. In turn, corresponding fluctuation estimates are obtained under assumptions typically satisfied if the process has a regular behavior in small time and a, possibly different, regular behavior in large time.