Conditioning subordinators embedded in Markov processes

DOI10.1016/J.SPA.2016.07.013zbMATH Open1373.60085OpenAlexW2962769758MaRDI QIDQ516013FDOQ516013

Authors Batı Şengül, A. E. Kyprianou, Víctor Manuel Rivero

Publication date 20 March 2017

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1506.07870

zbMATH Keywords

Markov processesconditioningsubordinators\(h\)-transformLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Self-similar stochastic processes (60G18)

Abstract: The running infimum of a Levy process relative to its point of issue is know to have the same range that of the negative of a certain subordinator. Conditioning a Levy process issued from a strictly positive value to stay positive may therefore be seen as implicitly conditioning its descending ladder heigh subordinator to remain in a strip. Motivated by this observation, we consider the general problem of conditioning a subordinator to remain in a strip. Thereafter we consider more general contexts in which subordinators embedded in the path decompositions of Markov processes are conditioned to remain in a strip.

Recommendations

• Conditionings and path decompositions for Lévy processes
• On Lévy processes conditioned to stay positive
• Sur certains processus de lévy conditionnés à rester positifs
• scientific article; zbMATH DE number 19377
• Lévy processes with negative drift conditioned to stay positive

Cites work

• scientific article; zbMATH DE number 1349990 (Why is no real title available?)
• scientific article; zbMATH DE number 1515832 (Why is no real title available?)
• scientific article; zbMATH DE number 918811 (Why is no real title available?)
• Conditioned stable Lévy processes and the Lamperti representation
• Conditionings and path decompositions for Lévy processes
• Introductory lectures on fluctuations of Lévy processes with applications.
• On Lévy processes conditioned to stay positive
• On the law of the supremum of Lévy processes
• Quasi-stationary distributions and Yaglom limits of self-similar Markov processes
• Recurrent extensions of self-similar Markov processes and Cramér's condition
• Semi-stable Markov processes. I

Cited in

(10)

• Attraction to and repulsion from a subset of the unit sphere for isotropic stable Lévy processes
• Oscillatory attraction and repulsion from a subset of the unit sphere or hyperplane for isotropic stable Lévy processes
• Several topological indices of two kinds of tetrahedral networks
• Stable processes conditioned to avoid an interval
• Entrance and exit at infinity for stable jump diffusions
• Conditioned real self-similar Markov processes
• Lévy processes with finite variance conditioned to avoid an interval
• Power-law bounds for increasing subsequences in Brownian separable permutons and homogeneous sets in Brownian cographons
• Deep factorisation of the stable process III: the view from radial excursion theory and the point of closest reach
• scientific article; zbMATH DE number 2188832 (Why is no real title available?)

This page was built for publication: Conditioning subordinators embedded in Markov processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q516013)