A new fluctuation identity for Lévy processes and some applications
Alili, Larbi ; Chaumont, Loïc
Bernoulli, Tome 7 (2001) no. 6, p. 557-569 / Harvested from Project Euclid
Let τ and H be respectively the ladder time and ladder height processes associated with a given Lévy process X. We give an identity in law between (τ,H) and (X,H*), H* being the right-continuous inverse of the process H. This allows us to obtain a relationship between the entrance law of X and the entrance law of the excursion measure away from 0 of the reflected process (Xt- infs≤tXs, t ≥0). In the stable case, some explicit calculations are provided. These results also lead to an explicit form of the entrance law of the Lévy process conditioned to stay positive.
Publié le : 2001-06-14
Classification:  excursion measure,  fluctuation theory,  Lévy processes,  local time
@article{1080004766,
     author = {Alili, Larbi and Chaumont, Lo\"\i c},
     title = {A new fluctuation identity for L\'evy processes and some applications},
     journal = {Bernoulli},
     volume = {7},
     number = {6},
     year = {2001},
     pages = { 557-569},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1080004766}
}
Alili, Larbi; Chaumont, Loïc. A new fluctuation identity for Lévy processes and some applications. Bernoulli, Tome 7 (2001) no. 6, pp.  557-569. http://gdmltest.u-ga.fr/item/1080004766/