A distributional equality for suprema of spectrally positive Lévy processes

Abstract: Let

Y

be a spectrally positive L'evy process with

E Y_{1} < 0

,

C

an independent subordinator with finite expectation, and

X = Y + C

. A curious distributional equality proved in Huzak et al., Ann. Appl. Probab. 14 (2004) 1278--1397, states that if

E X_{1} < 0

, then

s u p_{0 l e t < i n f t y} Y_{t}

and the supremum of

X

just before the first time its new supremum is reached by a jump of

C

have the same distribution. In this paper we give an alternative proof of an extension of this result and offer an explanation why it is true.

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