Right inverses of L\'{e}vy processes

Ron Doney; Mladen Savov

doi:10.1214/09-AOP515

Right inverses of L\'{e}vy processes

Probability 2010-10-22 v2

Authors: Ron Doney , Mladen Savov

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Abstract

We call a right-continuous increasing process $K_x$ a partial right inverse (PRI) of a given L\'{e}vy process $X$ if $X_{K_x}=x$ for at least all $x$ in some random interval $[0,\zeta)$ of positive length. In this paper, we give a necessary and sufficient condition for the existence of a PRI in terms of the L\'{e}vy triplet.

Cite

@article{arxiv.0904.4871,
  title  = {Right inverses of L\'{e}vy processes},
  author = {Ron Doney and Mladen Savov},
  journal= {arXiv preprint arXiv:0904.4871},
  year   = {2010}
}

Comments

Published in at http://dx.doi.org/10.1214/09-AOP515 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)

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