pith. sign in

arxiv: 1506.07870 · v2 · pith:G457J36Wnew · submitted 2015-06-25 · 🧮 math.PR

Conditioning subordinators embedded in Markov processes

classification 🧮 math.PR
keywords conditioningremainstripsubordinatorconsiderembeddedgenerallevy
0
0 comments X
read the original abstract

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.

This paper has not been read by Pith yet.

discussion (0)

Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.