English

Time-changed spectrally positive L\'evy processes starting from infinity

Probability 2020-10-27 v2

Abstract

Consider a spectrally positive L\'evy process ZZ with log-Laplace exponent Ψ\Psi and a positive continuous function RR on (0,)(0,\infty). We investigate the entrance from \infty of the process XX obtained by changing time in ZZ with the inverse of the additive functional η(t)=0tdsR(Zs)\eta(t)=\int_{0}^{t}\frac{{\rm d} s}{R(Z_s)}. We provide a necessary and sufficient condition for infinity to be an entrance boundary of the process XX. 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 δ:=γ<0\delta:=-\gamma<0, sufficient conditions over RR and Ψ\Psi are found for the process to come down from infinity along the deterministic function (xt,t0)(x_t,t\geq 0) solution to dxt=γR(xt)dt{\rm d} x_t=-\gamma R(x_t) {\rm d} t, with x0=x_0=\infty. When Ψ(λ)cλα\Psi(\lambda)\sim c\lambda^{\alpha}, with λ0\lambda \rightarrow 0, α(1,2]\alpha\in (1,2], c>0c>0 and RR is regularly varying at \infty with index θ>α\theta>\alpha, the process comes down from infinity and we find a renormalisation in law of its running infimum at small times.

Keywords

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}
}
R2 v1 2026-06-23T07:26:39.566Z