Lévy Processes with Negative Drift Conditioned to Stay Positive
HIRANO, Katsuhiro
Tokyo J. of Math., Tome 24 (2001) no. 2, p. 291-308 / Harvested from Project Euclid
Let $X$ be a Lévy process with negative drift starting from $x>0$, and let $\tau$ and $\tau_s$ be the first passage times to $(-\infty,0]$ and $(s,\infty)$, respectively. Under appropriate exponential moment conditions of $X$, we show that, for every $A\in\mathcal{F}_t$, the conditional laws $P_x(X\in A | \tau>s)$ and $P_x(X\in A | \tau>\tau_s)$ converge to different distributions as $s\rightarrow\infty$. Both of them can be regarded as the laws of $X$ conditioned to stay positive. We characterize these limit laws in terms of $h$-transforms, by the renewal functions, of some Lévy processes killed at the entrance time into $(-\infty,0]$.
Publié le : 2001-06-15
Classification: 
@article{1255958329,
     author = {HIRANO, Katsuhiro},
     title = {L\'evy Processes with Negative Drift Conditioned to Stay Positive},
     journal = {Tokyo J. of Math.},
     volume = {24},
     number = {2},
     year = {2001},
     pages = { 291-308},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1255958329}
}
HIRANO, Katsuhiro. Lévy Processes with Negative Drift Conditioned to Stay Positive. Tokyo J. of Math., Tome 24 (2001) no. 2, pp.  291-308. http://gdmltest.u-ga.fr/item/1255958329/