Regularity and smoothness of the convex hull of a Lévy process

Dr. Jorge Gonzalez Cazares (UNAM)

Date: Wednesday, 28th January 2026 at 2pm 

Title: Regularity and smoothness of the convex hull of a Lévy process

Abstract: We do a local analysis of the behavior of a Lévy process as it touches its convex hull. We generalise certain fluctuation identities and find a subsampled path exhibiting independent and stationary increments and use generalised fluctuation identities to establish the regularity and smoothness of the convex hull for a large class of Lévy processes.