Stable processes conditioned to avoid an interval

DOI10.1016/J.SPA.2019.01.004zbMATH Open1471.60049arXiv1802.07223OpenAlexW2964002010WikidataQ128345323 ScholiaQ128345323MaRDI QIDQ2289792FDOQ2289792

A. E. Kyprianou, Leif Döring, Philip Weissmann

Publication date: 24 January 2020

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: Conditioning Markov processes to avoid a domain is a classical problem that has been studied in many settings. Ingredients for standard arguments involve the leading order tail asymptotics of the distribution of the first hitting time of the domain of interest and its relation to an underlying harmonic function. In the present article we condition stable processes to avoid intervals. The required tail asymptotics in the stable setting for $alphageq1$ go back to classical work of Blumenthal et al. and Port from the 1960s. For $alpha<1$, we appeal to recent results centred around the so-called deep factorisation of the stable process to compute hitting probabilities and, moreover, to identify the associated harmonic functions for all $alphain(0,2)$. With these in hand, we thus prove that conditioning to avoid an interval is possible in the classical sense and that the resulting process is a Doob $h$-transform of the stable process killed on entering the aforesaid interval. Appealing to the representation of the conditioned process as a Doob $h$-transform, we verify that the conditioned process is transient.

Full work available at URL: https://arxiv.org/abs/1802.07223

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zbMATH Keywords

Markov processesharmonic function

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stable stochastic processes (60G52) Self-similar stochastic processes (60G18)

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Cited In (7)

• Asymptotically stable random walks of index \(1 < \alpha < 2\) killed on a finite set
• Stable Lévy processes in a cone
• Lévy processes with finite variance conditioned to avoid an interval
• Exponential and strong ergodicity for one-dimensional time-changed symmetric stable processes
• Limit theorems for random walks with absorption
• Stable processes conditioned to hit an interval continuously from the outside
• Completely asymmetric stable processes conditioned to avoid an interval

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