Conditioning subordinators embedded in Markov processes

DOI10.1016/J.SPA.2016.07.013zbMATH Open1373.60085arXiv1506.07870OpenAlexW2962769758MaRDI 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)

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.

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

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zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+processes&go=Go L��vy processes]Markov processesconditioningsubordinators\(h\)-transform

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)

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Cited In (10)

• Lévy processes with finite variance conditioned to avoid an interval
• 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
• Deep factorisation of the stable process III: the view from radial excursion theory and the point of closest reach
• Several topological indices of two kinds of tetrahedral networks
• Entrance and exit at infinity for stable jump diffusions
• Stable processes conditioned to avoid an interval
• Conditioned real self-similar Markov processes
• Power-law bounds for increasing subsequences in Brownian separable permutons and homogeneous sets in Brownian cographons
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