Completely asymmetric stable processes conditioned to avoid an interval

DOI10.1017/JPR.2019.66MaRDI QIDQ5205950zbMATHOpenAlexFDO

Authors Pierre Lenthe, Philip Weissmann

Publication date 17 December 2019

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1906.06928

zbMATH Keywords

Markov processDoob \(h\)-transformstable processLévy process

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Sums of independent random variables; random walks (60G50) Continuous-time Markov processes on general state spaces (60J25) Probabilistic potential theory (60J45)

Abstract: In the recent article D"oring et al. [4] the authors conditioned a stable process with two-sided jumps to avoid an interval. As usual the strategy was to find an invariant function for the process killed on entering the interval and to show that the corresponding h-transformed process is indeed the process conditioned to avoid an interval in a meaningful way. In the present article we consider the case of a completely asymmetric stable process. It turns out that the invariant function found in [4] does not exist or is not invariant but nonetheless, we will characterize the conditioned process as a Markov process.

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Cites work

• scientific article; zbMATH DE number 918811 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Fluctuations of Lévy processes with applications. Introductory lectures
• Hitting times and potentials for recurrent stable processes
• Lévy processes with finite variance conditioned to avoid an interval
• Markov Processes, Brownian Motion, and Time Symmetry
• On Lévy processes conditioned to stay positive
• Stable processes conditioned to avoid an interval
• The Distribution of the First Hit for Stable and Asymptotically Stable Walks on an Interval

Cited in

(4)

• Stable processes conditioned to avoid an interval
• Completely asymmetric Lévy processes confined in a finite interval
• Lévy processes with finite variance conditioned to avoid an interval
• Stable processes conditioned to hit an interval continuously from the outside

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