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












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












    $begingroup$


    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

      553516




      553516






















          1 Answer
          1






          active

          oldest

          votes


















          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











          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
          });


          }
          });














          draft saved

          draft discarded


















          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









          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












          $begingroup$

          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

          79k858123




          79k858123












          • $begingroup$
            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


















          draft saved

          draft discarded




















































          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.




          draft saved


          draft discarded














          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





















































          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







          Popular posts from this blog

          Bundesstraße 106

          Verónica Boquete

          Ida-Boy-Ed-Garten