English

Conditioning subordinators embedded in Markov processes

Probability 2016-06-24 v2

Abstract

The running infimum of a Levy process relative to its point of issue is know 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 heigh 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.

Cite

@article{arxiv.1506.07870,
  title  = {Conditioning subordinators embedded in Markov processes},
  author = {Andreas E. Kyprianou and Victor Rivero and Bati Sengul},
  journal= {arXiv preprint arXiv:1506.07870},
  year   = {2016}
}

Comments

24 pages

R2 v1 2026-06-22T10:00:27.739Z