Completely asymmetric stable processes conditioned to avoid an interval

DOI10.1017/JPR.2019.66zbMATH Open1427.60160arXiv1906.06928OpenAlexW2951736671MaRDI QIDQ5205950FDOQ5205950

Authors: Pierre Lenthe, Philip Weissmann 

Publication date: 17 December 2019

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

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.

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

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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)

Cites Work

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• Lévy processes with finite variance conditioned to avoid an interval
• On Lévy processes conditioned to stay positive
• The Distribution of the First Hit for Stable and Asymptotically Stable Walks on an Interval
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• Stable processes conditioned to avoid an interval

Cited In (1)

• Completely asymmetric Lévy processes confined in a finite interval

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