A new fluctuation identity for Lévy processes and some applications (Q5949620)

The identity in law is proved between the couple \((\tau,H)\) where \(\tau\) is the ladder process and \(H\) is the ladder height process associated with a given Lévy process and the couple \((X,H^*)\), where \(H^*\) is the right-continuous inverse of the process \(H\). The identity is applied in obtaining a relationship between the entrance law of \(X\) and the entrance law of the excursion measure of the reflected process. For stable processes some explicit calculations are presented. An explicit form of the entrance law of the Lévy process conditioned to stay positive is obtained.