Bridges of Lévy processes conditioned to stay positive (Q2444663): Difference between revisions
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| English | Bridges of Lévy processes conditioned to stay positive |
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Bridges of Lévy processes conditioned to stay positive (English)
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10 April 2014
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Starting from the work of \textit{I. V. Denisov} [Teor. Veroyatn. Primen. 28, No. 4, 785--788 (1983; Zbl 0528.60077)], the author generalizes a decomposition of the Brownian trajectory at the time it reaches its minimum on a given interval. Following \textit{L. Chaumont} and \textit{R. A. Doney} [Ann. Probab. 38, No. 4, 1368--1389 (2010; Zbl 1210.60033)], Lévy processes conditioned to stay positive and meanders are introduced. Finally, extensions of Denisov's theorem and of Verraat's theorem are given.
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Lévy processes
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Markovian bridges
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Vervaat transformation
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