Lévy processes with finite variance conditioned to avoid an interval

Döring, Leif ; Watson, Alexander R. ; Weissmann, Philip

URL: https://arxiv.org/abs/1807.08466
Additional URL: https://arxiv.org/pdf/1807.08466.pdf
Document Type: Working paper
Year of publication: 2018
Place of publication: Mannheim [u.a.]
Publication language: English
Institution: School of Business Informatics and Mathematics > Stochastik (Döring 2017-)
Subject: 510 Mathematics
Abstract: Conditioning Markov processes to avoid a set is a classical problem that has been studied in many settings. In the present article we study the question if a Levy process can be conditioned to avoid an interval and, if so, the path behavior of the conditioned process. For Levy processes with finite second moments we show that conditioning is possible and identify the conditioned process as an h-transform of the original killed process. The h-transform is explicit in terms of successive overshoot distributions and is used to prove that the conditioned process diverges to plus infinity and minus infinity with positive probabilities.

Dieser Eintrag ist Teil der Universitätsbibliographie.

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