Bridges of Lévy processes conditioned to stay positive

DOI10.3150/12-BEJ481MaRDI QIDQ2444663zbMATH OpenOpenAlexFDO

Authors 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, https://projecteuclid.org/euclid.bj/1390407285

zbMATH Keywords

Lévy processesMarkovian bridgesVervaat transformation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Abstract: We consider Kallenberg's hypothesis on the characteristic function of a L'{e}vy process and show that it allows the construction of weakly continuous bridges of the L'{e}vy process conditioned to stay positive. We therefore provide a notion of normalized excursions L'{e}vy processes above their cumulative minimum. Our main contribution is the construction of a continuous version of the transition density of the L'{e}vy process conditioned to stay positive by using the weakly continuous bridges of the L'{e}vy process itself. For this, we rely on a method due to Hunt which had only been shown to provide upper semi-continuous versions. Using the bridges of the conditioned L'{e}vy process, the Durrett-Iglehart theorem stating that the Brownian bridge from $0$ to $0$ conditioned to remain above $-varepsilon$ converges weakly to the Brownian excursion as $varepsilono0$, is extended to L'{e}vy processes. We also extend the Denisov decomposition of Brownian motion to L'{e}vy processes and their bridges, as well as Vervaat's classical result stating the equivalence in law of the Vervaat transform of a Brownian bridge and the normalized Brownian excursion.

Review text

Starting from the work of \textit{I. V. Denisov} [Teor. Veroyatn. Primen. 28, No. 4, 785--788 (1983; Zbl 0528.60077)], the author generalizes a decomposition of the Brownian trajectory at the time it reaches its minimum on a given interval. Following \textit{L. Chaumont} and \textit{R. A. Doney} [Ann. Probab. 38, No. 4, 1368--1389 (2010; Zbl 1210.60033)], Lévy processes conditioned to stay positive and meanders are introduced. Finally, extensions of Denisov's theorem and of Verraat's theorem are given.

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