Perpetual Integrals for Levy Processes
Probability
2015-01-06 v1
Abstract
We ask for necessary and sufficient conditions for almost sure finiteness of the perpetual integrals of a Levy process. Zero-one laws are already known for Brownian motion with drift and spectrally one-sided Levy processes. Under the assumption that local times exist, we use fluctuation theory and Jeulin's lemma to prove the zero-one law.
Keywords
Cite
@article{arxiv.1501.00645,
title = {Perpetual Integrals for Levy Processes},
author = {Leif Doering and Andreas E. Kyprianou},
journal= {arXiv preprint arXiv:1501.00645},
year = {2015}
}
Comments
5 pages