Lévy processes that can creep downwards never increase (Q1347272)
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English | Lévy processes that can creep downwards never increase |
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Lévy processes that can creep downwards never increase (English)
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4 April 1995
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A Lévy process \(X_ t\), starting at 0, is called downwards creeping if \(P(X_{T(X)}= x)> 0\) for all \(x< 0\), where \(T(x)\) is the hitting time of \((-\infty, x)\) for \(X\). It is proven that if \(X\) creeps downwards and 0 is regular for \((0,+\infty)\), then it never increases, i.e. \[ P(\{t: \text{ there is } \varepsilon< t \text{ such that } X_{t'}\leq X_ t\leq X_{t''},\;\forall t'\in [t- \varepsilon,t] \text{ and } \forall t''\in [t,t+ \varepsilon]\}=\emptyset)= 1. \] This work is a continuation of a paper of the author [Stochastics Stochastics Rep. 37, No. 4, 247-251 (1991; Zbl 0739.60065)].
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Lévy process
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non-increase
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downwards creeping
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