Perpetual integrals for Lévy processes

DOI10.1007/S10959-015-0607-YzbMATH Open1356.60073arXiv1501.00645OpenAlexW2123620900MaRDI QIDQ325924FDOQ325924

Authors: Leif Döring, A. E. Kyprianou 

Publication date: 11 October 2016

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1501.00645

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zbMATH Keywords

fluctuation theoryzero-one lawperpetual integralsLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Zero-one laws (60F20) Local time and additive functionals (60J55) Financial applications of other theories (91G80)

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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
• A characterization of the finiteness of perpetual integrals of Lévy processes
• Entrance and exit at infinity for stable jump diffusions
• Fluctuations of Omega-killed spectrally negative Lévy processes
• A necessary and sufficient condition for the convergence of the derivative martingale in a branching Lévy process

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