Stable processes conditioned to avoid an interval

Leif Döring, Andreas E. Kyprianou and Philip Weissmann

Stochastic Processes and their Applications, 2020, vol. 130, issue 2, 471-487

Abstract: Conditioning Markov processes to avoid a domain is a classical problem that has been studied in many settings. Ingredients for standard arguments involve the leading order tail asymptotics of the distribution of the first hitting time of the domain of interest and its relation to an underlying harmonic function.

Date: 2020
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DOI: 10.1016/j.spa.2019.01.004

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