Conditioning subordinators embedded in Markov processes

Andreas E. Kyprianou, Victor Rivero and Batı Şengül

Stochastic Processes and their Applications, 2017, vol. 127, issue 4, 1234-1254

Abstract: The running infimum of a Lévy process relative to its point of issue is known to have the same range that of the negative of a certain subordinator. Conditioning a Lévy process issued from a strictly positive value to stay positive may therefore be seen as implicitly conditioning its descending ladder height 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.

Keywords: Lévy processes; Conditioning; h-transform; Subordinators; Markov processes (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304414916301259
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:127:y:2017:i:4:p:1234-1254

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spa.2016.07.013

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().