Conditioning subordinators embedded in Markov processes
classification
🧮 math.PR
keywords
conditioningremainstripsubordinatorconsiderembeddedgenerallevy
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The running infimum of a Levy process relative to its point of issue is know to have the same range that of the negative of a certain subordinator. Conditioning a Levy process issued from a strictly positive value to stay positive may therefore be seen as implicitly conditioning its descending ladder heigh 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.
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