Bridges of Lévy processes conditioned to stay positive

DOI10.3150/12-BEJ481zbMath1296.60121arXiv1101.4184OpenAlexW1964414354MaRDI QIDQ2444663

Gerónimo Uribe Bravo

Publication date: 10 April 2014

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1101.4184

zbMATH Keywords

Lévy processesVervaat transformationMarkovian bridges

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Related Items (11)

Shifting Processes with Cyclically Exchangeable Increments at Random ⋮ Scalar conservation laws with white noise initial data ⋮ The first passage time of a stable process conditioned to not overshoot ⋮ The argmin process of random walks, Brownian motion and Lévy processes ⋮ How smooth can the convex hull of a Lévy path be? ⋮ Creeping of Lévy processes through curves ⋮ \(\varepsilon\)-strong simulation of the convex minorants of stable processes and meanders ⋮ The convex minorant of a Lévy process ⋮ Dini derivatives and regularity for exchangeable increment processes ⋮ Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications ⋮ The geometry of random minimal factorizations of a long cycle via biconditioned bitype random trees

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