Lévy processes conditioned on having a large height process (Q376686): Difference between revisions

The author considers `spectrally positive Lévy processes \(X\)' which do not drift to \(+\infty\). He is ``interested in conditioning these processes to reach arbitrarily large heights (in the sense of the height process associated with \(X\)) before hitting 0.'' In this way the author obtains ``a new conditioning of Lévy processes to stay positive. The (honest) law \(P_X^*\) of this conditioned process is defined as a Doob \(h\)-transform via a martingale. For Lévy processes with infinite variation paths, this martingale is \((\int\tilde\rho_t(\mathrm{d}z)e^{\alpha z}+I_t)1_{\{t\leq T_0\}}\) for some \(\alpha\) and where \((I_t)_{t\geq 0}\) is the past infimum process of \(X\), where \((\tilde\rho_t,t\geq0)\) is the so-called exploration process defined in [\textit{T. Duquesne} and \textit{J.-F. Le Gall}, Random trees, Lévy processes and spatial branching processes. Paris: Société Mathématique de France (2002; Zbl 1037.60074)], and where \(T_0\) is the hitting time of 0 for \(X\). Under \(P_X^*\), he also obtains a path decomposition of X at its minimum, which enables him to prove the convergence of \(P_X^*\) as \(x\to 0\). When the process \(X\) is a compensated compound Poisson process, the previous martingale is defined through the jumps of the future infimum process of \(X\). The computations are easier in this case because \(X\) can be viewed as the contour process of a (sub-)critical splitting tree.'' Furthermore, the author describes ``an alternative characterization of the conditioned process in the vein of spine decompositions.''