Finiteness of the number of big jumps of a Lévy process on a finite interval
$begingroup$
Let $Y(t)$, $0 leq t leq 1$, be a Lévy process. Denote by ${ Delta Y_i }$ the jumps of the process. I would like to show that the set ${i: |Delta Y_i| > r}$ is finite almost surely. However, I do not entirely understand what should be shown and how to approach this problem. I would be grateful for any help.
Thank you.
Regards,
Ivan
probability-theory levy-processes
$endgroup$
add a comment |
$begingroup$
Let $Y(t)$, $0 leq t leq 1$, be a Lévy process. Denote by ${ Delta Y_i }$ the jumps of the process. I would like to show that the set ${i: |Delta Y_i| > r}$ is finite almost surely. However, I do not entirely understand what should be shown and how to approach this problem. I would be grateful for any help.
Thank you.
Regards,
Ivan
probability-theory levy-processes
$endgroup$
add a comment |
$begingroup$
Let $Y(t)$, $0 leq t leq 1$, be a Lévy process. Denote by ${ Delta Y_i }$ the jumps of the process. I would like to show that the set ${i: |Delta Y_i| > r}$ is finite almost surely. However, I do not entirely understand what should be shown and how to approach this problem. I would be grateful for any help.
Thank you.
Regards,
Ivan
probability-theory levy-processes
$endgroup$
Let $Y(t)$, $0 leq t leq 1$, be a Lévy process. Denote by ${ Delta Y_i }$ the jumps of the process. I would like to show that the set ${i: |Delta Y_i| > r}$ is finite almost surely. However, I do not entirely understand what should be shown and how to approach this problem. I would be grateful for any help.
Thank you.
Regards,
Ivan
probability-theory levy-processes
probability-theory levy-processes
edited Nov 25 '14 at 15:26
Ivan
asked Nov 25 '14 at 13:38
IvanIvan
548516
548516
add a comment |
add a comment |
1 Answer
1
active
oldest
votes
$begingroup$
Let $(Y_t)_{t in [0,1]}$ be a Lévy process and denote by $Delta Y_t := Y_t-Y_{t-}$ the jump height at time $t$. The aim is to show that $(Y_t)_{t in [0,1]}$ has only finitely many jumps with jump size larger than $r$, i.e. that
$${t in [0,1]; |Delta Y_t(omega)|>r}$$
is a finite set for (almost) all $omega in Omega$. This follows from the following lemma (applied to the sample paths $[0,1] ni t mapsto Y_t(omega)$ for fixed $omega in Omega$):
Lemma Let $f:[0,1] to mathbb{R}$ be a càdlàg function (i.e. right-continuous with left-hand limits). Then the set $${t in [0,1]; |Delta f(t)|>r}$$ is finite for each $r>0$.
Proof:
Suppose that the set is not finite. Then we can choose a sequence $(t_n)_{n in mathbb{N}} subseteq [0,1]$ such that $|Delta f(t_n)|>r$ for each $n in mathbb{N}$. Since $[0,1]$ is (sequentially) compact, we can pick a subsequence $(t_{n(k)})_{k in mathbb{N}}$ such that $t_{n(k)} to s$ for some $s in [0,1]$.
Since $f$ is right-continuous at $s$, there exists $delta_1>0$ such that $$|f(s)-f(t)| < frac{r}{4}$$ for any $t in [s,s+delta_1]$. This means in particular that there cannot exist $t in [s,s+delta_1]$ such that $|Delta f(t)|>r$. Similarly, one can show that the existence of the left-limit implies the existence of $delta_2>0$ such that $|Delta f(t)| leq r$ for all $t in [s-delta_2,s)$. Obviously, this contradicts the first step of our proof where we constructed a sequence converging to $s$ with jumps heights $>r$.
$endgroup$
$begingroup$
Thank you for the answer. What is left to do is to mention that every Lévy process has a version whose paths are càdlàg, right?
$endgroup$
– Ivan
Nov 25 '14 at 19:26
$begingroup$
@Ivan Usually, a Lévy process has by definition (almost surely) càdlàg sample paths, but obviously this depends on the definition you are using.
$endgroup$
– saz
Nov 25 '14 at 19:27
$begingroup$
Sorry for necroing this old answer, but in a first step, we only obtain the existence of $delta_2>0$ such that $|f(t)-f(s-)|le r$ for all $tin[s-delta_2,s]$ by the existence of the left-limit at $t$. How do you proceed?
$endgroup$
– 0xbadf00d
Dec 1 '18 at 17:20
1
$begingroup$
@0xbadf00d If $|f(t)-f(s-)| leq r/4$ for $t in [s-delta_2,s)$, then $|f(t)-f(u)| leq r/2$ for any $u,v in [s-delta_2,s)$, and this clearly implies $|Delta f(t)| leq r$ for any $r in [s-delta_2,s)$.
$endgroup$
– saz
Dec 1 '18 at 17:29
add a comment |
Your Answer
StackExchange.ifUsing("editor", function () {
return StackExchange.using("mathjaxEditing", function () {
StackExchange.MarkdownEditor.creationCallbacks.add(function (editor, postfix) {
StackExchange.mathjaxEditing.prepareWmdForMathJax(editor, postfix, [["$", "$"], ["\\(","\\)"]]);
});
});
}, "mathjax-editing");
StackExchange.ready(function() {
var channelOptions = {
tags: "".split(" "),
id: "69"
};
initTagRenderer("".split(" "), "".split(" "), channelOptions);
StackExchange.using("externalEditor", function() {
// Have to fire editor after snippets, if snippets enabled
if (StackExchange.settings.snippets.snippetsEnabled) {
StackExchange.using("snippets", function() {
createEditor();
});
}
else {
createEditor();
}
});
function createEditor() {
StackExchange.prepareEditor({
heartbeatType: 'answer',
autoActivateHeartbeat: false,
convertImagesToLinks: true,
noModals: true,
showLowRepImageUploadWarning: true,
reputationToPostImages: 10,
bindNavPrevention: true,
postfix: "",
imageUploader: {
brandingHtml: "Powered by u003ca class="icon-imgur-white" href="https://imgur.com/"u003eu003c/au003e",
contentPolicyHtml: "User contributions licensed under u003ca href="https://creativecommons.org/licenses/by-sa/3.0/"u003ecc by-sa 3.0 with attribution requiredu003c/au003e u003ca href="https://stackoverflow.com/legal/content-policy"u003e(content policy)u003c/au003e",
allowUrls: true
},
noCode: true, onDemand: true,
discardSelector: ".discard-answer"
,immediatelyShowMarkdownHelp:true
});
}
});
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
StackExchange.ready(
function () {
StackExchange.openid.initPostLogin('.new-post-login', 'https%3a%2f%2fmath.stackexchange.com%2fquestions%2f1038171%2ffiniteness-of-the-number-of-big-jumps-of-a-l%25c3%25a9vy-process-on-a-finite-interval%23new-answer', 'question_page');
}
);
Post as a guest
Required, but never shown
1 Answer
1
active
oldest
votes
1 Answer
1
active
oldest
votes
active
oldest
votes
active
oldest
votes
$begingroup$
Let $(Y_t)_{t in [0,1]}$ be a Lévy process and denote by $Delta Y_t := Y_t-Y_{t-}$ the jump height at time $t$. The aim is to show that $(Y_t)_{t in [0,1]}$ has only finitely many jumps with jump size larger than $r$, i.e. that
$${t in [0,1]; |Delta Y_t(omega)|>r}$$
is a finite set for (almost) all $omega in Omega$. This follows from the following lemma (applied to the sample paths $[0,1] ni t mapsto Y_t(omega)$ for fixed $omega in Omega$):
Lemma Let $f:[0,1] to mathbb{R}$ be a càdlàg function (i.e. right-continuous with left-hand limits). Then the set $${t in [0,1]; |Delta f(t)|>r}$$ is finite for each $r>0$.
Proof:
Suppose that the set is not finite. Then we can choose a sequence $(t_n)_{n in mathbb{N}} subseteq [0,1]$ such that $|Delta f(t_n)|>r$ for each $n in mathbb{N}$. Since $[0,1]$ is (sequentially) compact, we can pick a subsequence $(t_{n(k)})_{k in mathbb{N}}$ such that $t_{n(k)} to s$ for some $s in [0,1]$.
Since $f$ is right-continuous at $s$, there exists $delta_1>0$ such that $$|f(s)-f(t)| < frac{r}{4}$$ for any $t in [s,s+delta_1]$. This means in particular that there cannot exist $t in [s,s+delta_1]$ such that $|Delta f(t)|>r$. Similarly, one can show that the existence of the left-limit implies the existence of $delta_2>0$ such that $|Delta f(t)| leq r$ for all $t in [s-delta_2,s)$. Obviously, this contradicts the first step of our proof where we constructed a sequence converging to $s$ with jumps heights $>r$.
$endgroup$
$begingroup$
Thank you for the answer. What is left to do is to mention that every Lévy process has a version whose paths are càdlàg, right?
$endgroup$
– Ivan
Nov 25 '14 at 19:26
$begingroup$
@Ivan Usually, a Lévy process has by definition (almost surely) càdlàg sample paths, but obviously this depends on the definition you are using.
$endgroup$
– saz
Nov 25 '14 at 19:27
$begingroup$
Sorry for necroing this old answer, but in a first step, we only obtain the existence of $delta_2>0$ such that $|f(t)-f(s-)|le r$ for all $tin[s-delta_2,s]$ by the existence of the left-limit at $t$. How do you proceed?
$endgroup$
– 0xbadf00d
Dec 1 '18 at 17:20
1
$begingroup$
@0xbadf00d If $|f(t)-f(s-)| leq r/4$ for $t in [s-delta_2,s)$, then $|f(t)-f(u)| leq r/2$ for any $u,v in [s-delta_2,s)$, and this clearly implies $|Delta f(t)| leq r$ for any $r in [s-delta_2,s)$.
$endgroup$
– saz
Dec 1 '18 at 17:29
add a comment |
$begingroup$
Let $(Y_t)_{t in [0,1]}$ be a Lévy process and denote by $Delta Y_t := Y_t-Y_{t-}$ the jump height at time $t$. The aim is to show that $(Y_t)_{t in [0,1]}$ has only finitely many jumps with jump size larger than $r$, i.e. that
$${t in [0,1]; |Delta Y_t(omega)|>r}$$
is a finite set for (almost) all $omega in Omega$. This follows from the following lemma (applied to the sample paths $[0,1] ni t mapsto Y_t(omega)$ for fixed $omega in Omega$):
Lemma Let $f:[0,1] to mathbb{R}$ be a càdlàg function (i.e. right-continuous with left-hand limits). Then the set $${t in [0,1]; |Delta f(t)|>r}$$ is finite for each $r>0$.
Proof:
Suppose that the set is not finite. Then we can choose a sequence $(t_n)_{n in mathbb{N}} subseteq [0,1]$ such that $|Delta f(t_n)|>r$ for each $n in mathbb{N}$. Since $[0,1]$ is (sequentially) compact, we can pick a subsequence $(t_{n(k)})_{k in mathbb{N}}$ such that $t_{n(k)} to s$ for some $s in [0,1]$.
Since $f$ is right-continuous at $s$, there exists $delta_1>0$ such that $$|f(s)-f(t)| < frac{r}{4}$$ for any $t in [s,s+delta_1]$. This means in particular that there cannot exist $t in [s,s+delta_1]$ such that $|Delta f(t)|>r$. Similarly, one can show that the existence of the left-limit implies the existence of $delta_2>0$ such that $|Delta f(t)| leq r$ for all $t in [s-delta_2,s)$. Obviously, this contradicts the first step of our proof where we constructed a sequence converging to $s$ with jumps heights $>r$.
$endgroup$
$begingroup$
Thank you for the answer. What is left to do is to mention that every Lévy process has a version whose paths are càdlàg, right?
$endgroup$
– Ivan
Nov 25 '14 at 19:26
$begingroup$
@Ivan Usually, a Lévy process has by definition (almost surely) càdlàg sample paths, but obviously this depends on the definition you are using.
$endgroup$
– saz
Nov 25 '14 at 19:27
$begingroup$
Sorry for necroing this old answer, but in a first step, we only obtain the existence of $delta_2>0$ such that $|f(t)-f(s-)|le r$ for all $tin[s-delta_2,s]$ by the existence of the left-limit at $t$. How do you proceed?
$endgroup$
– 0xbadf00d
Dec 1 '18 at 17:20
1
$begingroup$
@0xbadf00d If $|f(t)-f(s-)| leq r/4$ for $t in [s-delta_2,s)$, then $|f(t)-f(u)| leq r/2$ for any $u,v in [s-delta_2,s)$, and this clearly implies $|Delta f(t)| leq r$ for any $r in [s-delta_2,s)$.
$endgroup$
– saz
Dec 1 '18 at 17:29
add a comment |
$begingroup$
Let $(Y_t)_{t in [0,1]}$ be a Lévy process and denote by $Delta Y_t := Y_t-Y_{t-}$ the jump height at time $t$. The aim is to show that $(Y_t)_{t in [0,1]}$ has only finitely many jumps with jump size larger than $r$, i.e. that
$${t in [0,1]; |Delta Y_t(omega)|>r}$$
is a finite set for (almost) all $omega in Omega$. This follows from the following lemma (applied to the sample paths $[0,1] ni t mapsto Y_t(omega)$ for fixed $omega in Omega$):
Lemma Let $f:[0,1] to mathbb{R}$ be a càdlàg function (i.e. right-continuous with left-hand limits). Then the set $${t in [0,1]; |Delta f(t)|>r}$$ is finite for each $r>0$.
Proof:
Suppose that the set is not finite. Then we can choose a sequence $(t_n)_{n in mathbb{N}} subseteq [0,1]$ such that $|Delta f(t_n)|>r$ for each $n in mathbb{N}$. Since $[0,1]$ is (sequentially) compact, we can pick a subsequence $(t_{n(k)})_{k in mathbb{N}}$ such that $t_{n(k)} to s$ for some $s in [0,1]$.
Since $f$ is right-continuous at $s$, there exists $delta_1>0$ such that $$|f(s)-f(t)| < frac{r}{4}$$ for any $t in [s,s+delta_1]$. This means in particular that there cannot exist $t in [s,s+delta_1]$ such that $|Delta f(t)|>r$. Similarly, one can show that the existence of the left-limit implies the existence of $delta_2>0$ such that $|Delta f(t)| leq r$ for all $t in [s-delta_2,s)$. Obviously, this contradicts the first step of our proof where we constructed a sequence converging to $s$ with jumps heights $>r$.
$endgroup$
Let $(Y_t)_{t in [0,1]}$ be a Lévy process and denote by $Delta Y_t := Y_t-Y_{t-}$ the jump height at time $t$. The aim is to show that $(Y_t)_{t in [0,1]}$ has only finitely many jumps with jump size larger than $r$, i.e. that
$${t in [0,1]; |Delta Y_t(omega)|>r}$$
is a finite set for (almost) all $omega in Omega$. This follows from the following lemma (applied to the sample paths $[0,1] ni t mapsto Y_t(omega)$ for fixed $omega in Omega$):
Lemma Let $f:[0,1] to mathbb{R}$ be a càdlàg function (i.e. right-continuous with left-hand limits). Then the set $${t in [0,1]; |Delta f(t)|>r}$$ is finite for each $r>0$.
Proof:
Suppose that the set is not finite. Then we can choose a sequence $(t_n)_{n in mathbb{N}} subseteq [0,1]$ such that $|Delta f(t_n)|>r$ for each $n in mathbb{N}$. Since $[0,1]$ is (sequentially) compact, we can pick a subsequence $(t_{n(k)})_{k in mathbb{N}}$ such that $t_{n(k)} to s$ for some $s in [0,1]$.
Since $f$ is right-continuous at $s$, there exists $delta_1>0$ such that $$|f(s)-f(t)| < frac{r}{4}$$ for any $t in [s,s+delta_1]$. This means in particular that there cannot exist $t in [s,s+delta_1]$ such that $|Delta f(t)|>r$. Similarly, one can show that the existence of the left-limit implies the existence of $delta_2>0$ such that $|Delta f(t)| leq r$ for all $t in [s-delta_2,s)$. Obviously, this contradicts the first step of our proof where we constructed a sequence converging to $s$ with jumps heights $>r$.
edited Dec 1 '18 at 17:27
answered Nov 25 '14 at 15:10
sazsaz
78.8k858123
78.8k858123
$begingroup$
Thank you for the answer. What is left to do is to mention that every Lévy process has a version whose paths are càdlàg, right?
$endgroup$
– Ivan
Nov 25 '14 at 19:26
$begingroup$
@Ivan Usually, a Lévy process has by definition (almost surely) càdlàg sample paths, but obviously this depends on the definition you are using.
$endgroup$
– saz
Nov 25 '14 at 19:27
$begingroup$
Sorry for necroing this old answer, but in a first step, we only obtain the existence of $delta_2>0$ such that $|f(t)-f(s-)|le r$ for all $tin[s-delta_2,s]$ by the existence of the left-limit at $t$. How do you proceed?
$endgroup$
– 0xbadf00d
Dec 1 '18 at 17:20
1
$begingroup$
@0xbadf00d If $|f(t)-f(s-)| leq r/4$ for $t in [s-delta_2,s)$, then $|f(t)-f(u)| leq r/2$ for any $u,v in [s-delta_2,s)$, and this clearly implies $|Delta f(t)| leq r$ for any $r in [s-delta_2,s)$.
$endgroup$
– saz
Dec 1 '18 at 17:29
add a comment |
$begingroup$
Thank you for the answer. What is left to do is to mention that every Lévy process has a version whose paths are càdlàg, right?
$endgroup$
– Ivan
Nov 25 '14 at 19:26
$begingroup$
@Ivan Usually, a Lévy process has by definition (almost surely) càdlàg sample paths, but obviously this depends on the definition you are using.
$endgroup$
– saz
Nov 25 '14 at 19:27
$begingroup$
Sorry for necroing this old answer, but in a first step, we only obtain the existence of $delta_2>0$ such that $|f(t)-f(s-)|le r$ for all $tin[s-delta_2,s]$ by the existence of the left-limit at $t$. How do you proceed?
$endgroup$
– 0xbadf00d
Dec 1 '18 at 17:20
1
$begingroup$
@0xbadf00d If $|f(t)-f(s-)| leq r/4$ for $t in [s-delta_2,s)$, then $|f(t)-f(u)| leq r/2$ for any $u,v in [s-delta_2,s)$, and this clearly implies $|Delta f(t)| leq r$ for any $r in [s-delta_2,s)$.
$endgroup$
– saz
Dec 1 '18 at 17:29
$begingroup$
Thank you for the answer. What is left to do is to mention that every Lévy process has a version whose paths are càdlàg, right?
$endgroup$
– Ivan
Nov 25 '14 at 19:26
$begingroup$
Thank you for the answer. What is left to do is to mention that every Lévy process has a version whose paths are càdlàg, right?
$endgroup$
– Ivan
Nov 25 '14 at 19:26
$begingroup$
@Ivan Usually, a Lévy process has by definition (almost surely) càdlàg sample paths, but obviously this depends on the definition you are using.
$endgroup$
– saz
Nov 25 '14 at 19:27
$begingroup$
@Ivan Usually, a Lévy process has by definition (almost surely) càdlàg sample paths, but obviously this depends on the definition you are using.
$endgroup$
– saz
Nov 25 '14 at 19:27
$begingroup$
Sorry for necroing this old answer, but in a first step, we only obtain the existence of $delta_2>0$ such that $|f(t)-f(s-)|le r$ for all $tin[s-delta_2,s]$ by the existence of the left-limit at $t$. How do you proceed?
$endgroup$
– 0xbadf00d
Dec 1 '18 at 17:20
$begingroup$
Sorry for necroing this old answer, but in a first step, we only obtain the existence of $delta_2>0$ such that $|f(t)-f(s-)|le r$ for all $tin[s-delta_2,s]$ by the existence of the left-limit at $t$. How do you proceed?
$endgroup$
– 0xbadf00d
Dec 1 '18 at 17:20
1
1
$begingroup$
@0xbadf00d If $|f(t)-f(s-)| leq r/4$ for $t in [s-delta_2,s)$, then $|f(t)-f(u)| leq r/2$ for any $u,v in [s-delta_2,s)$, and this clearly implies $|Delta f(t)| leq r$ for any $r in [s-delta_2,s)$.
$endgroup$
– saz
Dec 1 '18 at 17:29
$begingroup$
@0xbadf00d If $|f(t)-f(s-)| leq r/4$ for $t in [s-delta_2,s)$, then $|f(t)-f(u)| leq r/2$ for any $u,v in [s-delta_2,s)$, and this clearly implies $|Delta f(t)| leq r$ for any $r in [s-delta_2,s)$.
$endgroup$
– saz
Dec 1 '18 at 17:29
add a comment |
Thanks for contributing an answer to Mathematics Stack Exchange!
- Please be sure to answer the question. Provide details and share your research!
But avoid …
- Asking for help, clarification, or responding to other answers.
- Making statements based on opinion; back them up with references or personal experience.
Use MathJax to format equations. MathJax reference.
To learn more, see our tips on writing great answers.
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
StackExchange.ready(
function () {
StackExchange.openid.initPostLogin('.new-post-login', 'https%3a%2f%2fmath.stackexchange.com%2fquestions%2f1038171%2ffiniteness-of-the-number-of-big-jumps-of-a-l%25c3%25a9vy-process-on-a-finite-interval%23new-answer', 'question_page');
}
);
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown