Lévy processes conditioned on having a large height process

DOI10.1214/12-AIHP491zbMATH Open1295.60058arXiv1106.2245OpenAlexW2090971533MaRDI QIDQ376686FDOQ376686

Authors: Mathieu Richard 

Publication date: 19 November 2013

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Abstract: In the present work, we consider spectrally positive L'evy processes $(X_t,tgeq0)$ not drifting to $+infty$ and we are interested in conditioning these processes to reach arbitrarily large heights (in the sense of the height process associated with $X$) before hitting 0. This way we obtain a new conditioning of L'evy processes to stay positive. The (honest) law $pfl$ of this conditioned process is defined as a Doob $h$-transform via a martingale. For L'evy processes with infinite variation paths, this martingale is $(intildet(mathrmdz)e^{alphaz}+I_t)2tleq{T}_0$ for some $alpha$ and where $(I_t,tgeq0)$ is the past infimum process of $X$, where $(ildet,tgeq0)$ is the so-called emph{exploration process} defined in Duquesne, 2002, and where $T_0$ is the hitting time of 0 for $X$. Under $pfl$, we also obtain a path decomposition of $X$ at its minimum, which enables us to prove the convergence of $pfl$ as $xo0$. When the process $X$ is a compensated compound Poisson process, the previous martingale is defined through the jumps of the future infimum process of $X$. The computations are easier in this case because $X$ can be viewed as the contour process of a (sub)critical emph{splitting tree}. We also can give an alternative characterization of our conditioned process in the vein of spine decompositions.

Full work available at URL: https://arxiv.org/abs/1106.2245

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zbMATH Keywords

queueing theorysplitting treespine decompositionsize-biased distributionDoob harmonic transformexploration processheight processLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of branching processes (60J85) Queueing theory (aspects of probability theory) (60K25) Random measures (60G57) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07)

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Cited In (8)

• Lévy processes with finite variance conditioned to avoid an interval
• On Lévy processes conditioned to stay positive
• Lévy processes conditioned to stay in a half-space with applications to directional extremes
• An extension of Pitman's theorem for spectrally positive Lévy processes
• On Lévy processes conditioned to avoid zero
• Height and contour processes of Crump-Mode-Jagers forests. I: general distribution and scaling limits in the case of short edges
• Sur certains processus de lévy conditionnés à rester positifs
• Height and contour processes of Crump-Mode-Jagers forests. II: the Bellman-Harris universality class

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