An extension of Pitman's theorem for spectrally positive Lévy processes (Q1201183): Difference between revisions

It is a well-known result of Pitman that a 3-dimensional Bessel process \(R\) can be constructed by means of a real Brownian motion \(X\) as the difference \(2\bar X-X\), whereas \(\bar X\) denotes the maximum process of \(X\). Conditioning the Brownian motion to stay positive results even so in a 3-dimensional Bessel process. The present paper extends this connections in the following way: For a given spectrally positive Lévy process \(X\) the continuous part of its maximum process \(\bar X\) let be denoted by \(\bar X^ c\) and the sum of jumps of \(X\) that across its previous maximum by \(J\). Then the process \(X-2\bar X^ c-J\) has the same law as \(X\) conditioned to stay negative. By proving this several other relations between Brownian motion and 3-dimensional Bessel process are extended. The proof bases mainly on time reversal arguments due to Getoor, Sharpe, Williams, the author and others. The two cases that \(X\) has resp. has not a Gaussian component are to distinguish.