The time at which a Lévy process creeps

DOI10.1214/EJP.V16-945zbMATH Open1244.60051arXiv1106.5921MaRDI QIDQ428574FDOQ428574

Authors: Philip S. Griffin, Ross A. Maller 

Publication date: 22 June 2012

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

Abstract: We show that if a L'evy process creeps then, as a function of $u$, the renewal function $V(t,u)$ of the bivariate ascending ladder process $(L^{-1},H)$ is absolutely continuous on $[0,infty)$ and left differentiable on $(0,infty)$, and the left derivative at $u$ is proportional to the (improper) distribution function of the time at which the process creeps over level $u$, where the constant of proportionality is $m{d}_H^{-1}$, the reciprocal of the (positive) drift of $H$. This yields the (missing) term due to creeping in the recent quintuple law of Doney and Kyprianou (2006). As an application, we derive a Laplace transform identity which generalises the second factorization identity. We also relate Doney and Kyprianou's extension of Vigon's 'equation amicale invers'ee to creeping. Some results concerning the ladder process of $X$, including the second factorization identity, continue to hold for a general bivariate subordinator, and are given in this generality.

Full work available at URL: https://arxiv.org/abs/1106.5921

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zbMATH Keywords

bivariate subordinatorcreeping by time \(t\)quintuple lawsecond factorization identityLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Sums of independent random variables; random walks (60G50) Renewal theory (60K05)

Cited In (11)

• Creeping of Lévy processes through curves
• Sample path behavior of a Lévy insurance risk process approaching ruin, under the Cramér-Lundberg and convolution equivalent conditions
• Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases
• Convolution equivalent Lévy processes and first passage times
• Path decomposition of ruinous behavior for a general Lévy insurance risk process
• Stability of the exit time for Lévy processes
• Asymptotic behaviour of first passage time distributions for Lévy processes
• Finite time ruin probabilities for tempered stable insurance risk processes
• Lévy processes that can creep downwards never increase
• Lévy processes resurrected in the positive half-line
• On exact sampling of the first passage event of a Lévy process with infinite Lévy measure and bounded variation

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