Conditioning subordinators embedded in Markov processes

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:127

Article

Kyprianou, Andreas E.¹  Rivero, Victor²  Senguel, Bati¹ 

[1] Univ Bath, Dept Math Sci, Claverton Down, Bath BA2 7AY, Avon, England

[2] CIMAT A C, Calle Jalisco S-N,Col Valenciana AP 402, Guanajuato 36000, Gto, Mexico

关键词: Levy processes;    Conditioning;    h-transform;    Subordinators;    Markov processes;   

DOI  :  10.1016/j.spa.2016.07.013

来源: Elsevier

【 摘 要 】

The running infimum of a Levy process relative to its point of issue is known 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 height 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. (C) 2016 Elsevier B.V. All rights reserved.

【 授权许可】

Free