Sample Path Behaviors of Lévy Processes Conditioned to Avoid Zero

Shosei Takeda ()
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Shosei Takeda: Rakunan High School

Journal of Theoretical Probability, 2024, vol. 37, issue 4, 3177-3201

Abstract: Abstract Takeda and Yano (Electron J Probab 28:1–35, 2023) determined the limit of Lévy processes conditioned to avoid zero via various random clocks in terms of Doob’s $$h$$ h -transform, where the limit processes may differ according to the choice of random clocks. The purpose of this paper is to investigate sample path behaviors of the limit processes in long time and in short time.

Keywords: One-dimensional Lévy process; Conditioning; Sample path property; Limit theorem; Primary 60G17; Secondary 60F05; 60G51; 60J25 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10959-024-01352-2

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