Time-changed spectrally positive Lévy processes started from infinity
type: Item
instance of: scholarly article
title: Time-changed spectrally positive Lévy processes started from infinity
zbMATH Open document ID: 1489.60075
DOI: 10.3150/20-BEJ1274
author: Clément Foucart
author: Pei-Sen Li
author: Xiaowen Zhou
published in: Bernoulli
publication date: 2021-07-09T00:00:00Z
full work available at URL: https://arxiv.org/abs/1901.10689
review text: Consider a spectrally positive Lévy process \(Z\) with log-Laplace exponent \(\Psi\), i.e.,\ such that \(\mathbb{E}[e^{-\lambda Z_1}] = \exp(\Psi(\lambda))\), and a positive continuous function \(R\) on \((0, \infty)\). Conditional to the path \((Z_t)_{t\geq 0}\) stopped upon reaching \(0\), one defines a time-changed path \((X_t)_{t\geq 0}=(Z_{\theta(t)})_{t\geq 0}\) with \(\theta(t)\) defined as the inverse of \(t\mapsto \int_0^t \frac{1}{R(Z_s)}\, ds\). With this definition, \(X\) is a Markov process that the authors call a \textit{nonlinear CSBP}, in relation to the fact that any continuous state branching process can be written as such a time-change of a spectrally positive Lévy process with \(R(x)=x\). The main result is that when the process \(X\) is (sub)critical, i.e., when \(\Psi'(0+)\geq 0\), then \(\infty\) is an entrance boundary for it if and only if \[ \int^\infty\frac{1}{x\Psi(1/x)R(x)}\,dx < \infty. \] The authors further give the expectation of the hitting time of any fixed \(b>0\) under \(\mathbb{P}_\infty\), in terms of the function \(R\) and the so-called scale function \(W\) of the Lévy process \(Z\). Under natural regularity conditions for \(R\) and in the subcritical case (\(\Psi'(0+)>0\)), it is proven that \(X\) comes down to infinity with speed \(\varphi^{-1}(x)\), where \[ \varphi(x) := \frac{1}{\Psi'(0+)}\int_x^{\infty}\frac{dx}{R(x)}, \] meaning that \(X_t/\varphi^{-1}(t)\) goes to \(1\) as \(t\to 0\), in \(\mathbb{P}_\infty\)-probability. This result is strengthened to an almost-sure convergence if \(R\) is regularly varying at \(\infty\) with index \(\theta > 1\), under some further technical conditions. In the critical case (\(\Psi'(0+)=0\)), if \(\Psi(\lambda)\sim_0 c\lambda^{\alpha}\) for \(c> 0\) and \(\alpha\in(1,2]\), and if \(R\) is regularly varying at \(\infty\) with index \(\theta > \alpha\), then \(X\) comes down from infinity and oscillates widely in the sense that \(\limsup_{t\to 0}X_t/\underline{X}_t=\infty\) almost sure…
reviewed by: Jean-Jil Duchamps
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 60F15
Mathematics Subject Classification ID: 60J80
zbMATH DE Number: 7370709
zbMATH Keywords: coming down from infinity
zbMATH Keywords: continuous-state nonlinear branching process
zbMATH Keywords: entrance boundary
zbMATH Keywords: hitting time
zbMATH Keywords: regularly varying function
zbMATH Keywords: spectrally positive Lévy process
zbMATH Keywords: time-change
zbMATH Keywords: weighted occupation time
Wikidata QID: Q114038755
MaRDI profile type: MaRDI publication profile
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OpenAlex ID: W3153085710
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description: scientific article; zbMATH DE number 7370709