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