On Lévy processes conditioned to avoid zero
From MaRDI portal
Abstract: The purpose of this paper is to construct the law of a L'evy process conditioned to avoid zero, under mild technicals conditions, two of them being that the point zero is regular for itself and the L'evy process is not a compound Poisson process. Two constructions are proposed, the first lies on the method of -transformation, which requires a deep study of the associated excessive function; while in the second it is obtained by conditioning the underlying L'evy process to avoid zero up to an independent exponential time whose parameter tends to The former approach generalizes some of the results obtained by Yano cite{Yano10} in the symmetric case and recovers some of main results in Yano's work cite{Yano13}, while the latter is reminiscent of cite{Chaumont-Doney05}. We give some properties of the resulting process and we describe in some detail two examples: alpha stable and spectrally negative L'evy processes.
Recommendations
Cites work
- A convolution equation and hitting probabilities of single points for processes with stationary independent increments
- Conditionings and path decompositions for Lévy processes
- Continuity of local times for L�vy processes
- Corrections to ``On Lévy processes conditioned to stay positive
- Excursion theory revisited
- Excursions away from a regular point for one-dimensional symmetric Lévy processes without Gaussian part
- Exit systems
- scientific article; zbMATH DE number 3114732 (Why is no real title available?)
- scientific article; zbMATH DE number 3127846 (Why is no real title available?)
- scientific article; zbMATH DE number 1022658 (Why is no real title available?)
- scientific article; zbMATH DE number 918811 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- scientific article; zbMATH DE number 5227618 (Why is no real title available?)
- scientific article; zbMATH DE number 3272022 (Why is no real title available?)
- Infinitely divisible processes and their potential theory. II
- Introductory lectures on fluctuations of Lévy processes with applications.
- Markov Processes, Brownian Motion, and Time Symmetry
- Necessary and sufficient conditions for the continuity of local time of Lévy processes
- On harmonic function for the killed process upon hitting zero of asymmetric Lévy processes
- On Lévy processes conditioned to stay positive
- On the continuity of local times of Borel right Markov processes
- Penalising symmetric stable Lévy paths
- Permanental processes
- Splitting at the infimum and excursions in half-lines for random walks and Lévy processes
Cited in
(22)- The excursion measure away from zero for spectrally negative Lévy processes
- Attraction to and repulsion from a subset of the unit sphere for isotropic stable Lévy processes
- On universality in penalisation problems with multiplicative weights
- Asymptotically stable random walks of index \(1 < \alpha < 2\) killed on a finite set
- Stable processes conditioned to avoid an interval
- Stable processes conditioned to hit an interval continuously from the outside
- Lévy processes with finite variance conditioned to avoid an interval
- On the limiting behaviour of Lévy processes at zero
- Fluctuation theory for Lévy processes with completely monotone jumps
- Unavoidable collections of balls for isotropic Lévy processes
- Local time penalizations with various clocks for Lévy processes
- MFO-RIMS tandem workshop: Nonlocality in analysis, probability and statistics. Abstracts from the MFO-RIMS tandem workshop held March 20--26, 2022
- Lévy processes conditioned on having a large height process
- Hitting probabilities for Lévy processes on the real line
- Optimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costs
- On some Markov processes related to a symmetric -stable process
- Transience and recurrence of Markov processes with constrained local time
- Completely asymmetric stable processes conditioned to avoid an interval
- Sample path behaviors of Lévy processes conditioned to avoid zero
- Two-point local time penalizations with various clocks for Lévy processes
- Conditions for a Lévy process to stay positive near 0, in probability
- The asymptotic behavior of the renormalized zero resolvent of Lévy processes under regular variation conditions
This page was built for publication: On Lévy processes conditioned to avoid zero
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5369221)
