Lévy processes conditioned on having a large height process (Q376686): Difference between revisions
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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.'' | |||
Property / review text: 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.'' / rank | |||
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Property / reviewed by: Alexander Schnurr / rank | |||
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Property / Mathematics Subject Classification ID: 60G51 / rank | |||
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Property / Mathematics Subject Classification ID: 60J80 / rank | |||
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Property / Mathematics Subject Classification ID: 60J85 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60G44 / rank | |||
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Property / Mathematics Subject Classification ID: 60K25 / rank | |||
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Property / Mathematics Subject Classification ID: 60G07 / rank | |||
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Property / Mathematics Subject Classification ID: 60G57 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6229195 / rank | |||
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Property / zbMATH Keywords | |||
Lévy process | |||
Property / zbMATH Keywords: Lévy process / rank | |||
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height process | |||
Property / zbMATH Keywords: height process / rank | |||
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Doob harmonic transform | |||
Property / zbMATH Keywords: Doob harmonic transform / rank | |||
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splitting tree | |||
Property / zbMATH Keywords: splitting tree / rank | |||
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spine decomposition | |||
Property / zbMATH Keywords: spine decomposition / rank | |||
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size-biased distribution | |||
Property / zbMATH Keywords: size-biased distribution / rank | |||
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queueing theory | |||
Property / zbMATH Keywords: queueing theory / rank | |||
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exploration process | |||
Property / zbMATH Keywords: exploration process / rank | |||
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Revision as of 11:44, 29 June 2023
scientific article
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English | Lévy processes conditioned on having a large height process |
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Lévy processes conditioned on having a large height process (English)
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19 November 2013
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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.''
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Lévy process
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height process
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Doob harmonic transform
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splitting tree
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spine decomposition
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size-biased distribution
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queueing theory
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exploration process
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