Time-changed spectrally positive L\'evy processes starting from infinity
Abstract
Consider a spectrally positive L\'evy process with log-Laplace exponent and a positive continuous function on . We investigate the entrance from of the process obtained by changing time in with the inverse of the additive functional . We provide a necessary and sufficient condition for infinity to be an entrance boundary of the process . Under this condition, the process can start from infinity and we study its speed of coming down from infinity. When the L\'evy process has a negative drift , sufficient conditions over and are found for the process to come down from infinity along the deterministic function solution to , with . When , with , , and is regularly varying at with index , the process comes down from infinity and we find a renormalisation in law of its running infimum at small times.
Cite
@article{arxiv.1901.10689,
title = {Time-changed spectrally positive L\'evy processes starting from infinity},
author = {Clément Foucart and Pei-Sen Li and Xiaowen Zhou},
journal= {arXiv preprint arXiv:1901.10689},
year = {2020}
}