Excursions away from the Lipschitz minorant of a Lévy process

DOI10.1214/21-AIHP1155MaRDI QIDQ2078023zbMATH OpenOpenAlexFDO

Authors Steven Neil Evans, Mehdi Ouaki

Publication date 25 February 2022

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1905.07038

zbMATH Keywords

enlargement of filtrationfluctuation theoryglobal minimumlast exit decompositionpath decompositionregenerative setsubordinator

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Brownian motion (60J65)

Abstract: For $alpha>0$, the $alpha$-Lipschitz minorant of a function $f:mathbbRightarrowmathbbR$ is the greatest function $m:mathbbRightarrowmathbbR$ such that $mleqf$ and $vertm(s)-m(t)vertleqalphaverts-tvert$ for all $s,tinmathbbR$, should such a function exist. If $X=(X_t{)}_{tinmathbbR}$ is a real-valued L'evy process that is not a pure linear drift with slope $pmalpha$, then the sample paths of $X$ have an $alpha$-Lipschitz minorant almost surely if and only if $mathbbE[vert{X}_{1}vert]<infty$ and $vertmathbbE[X_1]vert<alpha$. Denoting the minorant by $M$, we consider the contact set $mathcalZ:=tinmathbbR:M_t=X_{t}wedge{X}_{t-}$, which, since it is regenerative and stationary, has the distribution of the closed range of some subordinator "made stationary" in a suitable sense. We provide a description of the excursions of the L'evy process away from its contact set similar to the one presented in It^o excursion theory. We study the distribution of the excursion on the special interval straddling zero. We also give an explicit path decomposition of the other "generic" excursions in the case of Brownian motion with drift $$ with $$. Finally, we investigate the progressive enlargement of the Brownian filtration by the random time that is the first point of the contact set after zero.

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Cited in

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