Finiteness of the number of big jumps of a Lévy process on a finite interval












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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










share|cite|improve this question











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    0












    $begingroup$


    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










    share|cite|improve this question











    $endgroup$















      0












      0








      0


      3



      $begingroup$


      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










      share|cite|improve this question











      $endgroup$




      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






      share|cite|improve this question















      share|cite|improve this question













      share|cite|improve this question




      share|cite|improve this question








      edited Nov 25 '14 at 15:26







      Ivan

















      asked Nov 25 '14 at 13:38









      IvanIvan

      548516




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          1 Answer
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          $begingroup$

          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 $>r$.







          share|cite|improve this answer











          $endgroup$













          • $begingroup$
            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











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          $begingroup$

          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 $>r$.







          share|cite|improve this answer











          $endgroup$













          • $begingroup$
            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
















          2












          $begingroup$

          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 $>r$.







          share|cite|improve this answer











          $endgroup$













          • $begingroup$
            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














          2












          2








          2





          $begingroup$

          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 $>r$.







          share|cite|improve this answer











          $endgroup$



          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 $>r$.








          share|cite|improve this answer














          share|cite|improve this answer



          share|cite|improve this answer








          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


















          • $begingroup$
            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


















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