Abstract: We ask for necessary and sufficient conditions for almost sure finiteness of the perpetual integrals of a Levy process. Zero-one laws are already known for Brownian motion with drift and spectrally one-sided Levy processes. Under the assumption that local times exist, we use fluctuation theory and Jeulin's lemma to prove the zero-one law.
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Cited in
(14)- Properties of perpetual integral functionals of Brownian motion with drift
- On continuity properties of the law of integrals of Lévy processes
- Stochastic processes under constraints. Abstracts from the workshop held September 27 -- October 3, 2020 (hybrid meeting)
- General path integrals and stable SDEs
- Integral functionals for spectrally positive Lévy processes
- On the explosion of a class of continuous-state nonlinear branching processes
- Perpetual integral functionals of multidimensional stochastic processes
- A note on a.s. finiteness of perpetual integral functionals of diffusions
- First passage upwards for state-dependent-killed spectrally negative Lévy processes
- Perpetual integrals via random time changes
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- A characterization of the finiteness of perpetual integrals of Lévy processes
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