HAL: hal-00599921, version 2
 Available versions: v1 (2011-06-13) v2 (2012-01-30)
 Lévy process conditioned by its height process
 (2011-06-11)
 In the present work, we consider spectrally positive Lévy processes $(X_t,t\geq0)$ not drifting to $+\infty$ and we are interested in conditioning these processes to reach arbitrarily large heights (in the sense of the height process associated with $X$) before hitting $0$. This way we obtain a new conditioning of Lévy processes to stay positive. The (honest) law $\pfl$ of this conditioned process is defined as a Doob $h$-transform via a martingale. For Lévy processes with infinite variation paths, this martingale is $\left(\int\tilde\rt(\mathrm{d}z)e^{\alpha z}+I_t\right)\2{t\leq T_0}$ for some $\alpha$ and where $(I_t,t\geq0)$ is the past infimum process of $X$, where $(\tilde\rt,t\geq0)$ is the so-called \emph{exploration process} defined in \cite{Duquesne2002} and where $T_0$ is the hitting time of 0 for $X$. Under $\pfl$, we also obtain a path decomposition of $X$ at its minimum, which enables us to prove the convergence of $\pfl$ as $x\to0$. When the process $X$ is a compensated compound Poisson process, the previous martingale is defined through the jumps of the future infimum process of $X$. The computations are easier in this case because $X$ can be viewed as the contour process of a (sub)critical \emph{splitting tree}. We also can give an alternative characterization of our conditioned process in the vein of spine decompositions.
 1: Laboratoire de Probabilités et Modèles Aléatoires (LPMA) CNRS : UMR7599 – Université Pierre et Marie Curie [UPMC] - Paris VI – Université Paris VII - Paris Diderot
 Subject : Mathematics/Probability
 Keyword(s): Lévy process – height process – Doob harmonic transform – splitting tree – spine decomposition – size-biased distribution – queueing theory
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 hal-00599921, version 2 http://hal.archives-ouvertes.fr/hal-00599921 oai:hal.archives-ouvertes.fr:hal-00599921 From: Mathieu Richard <> Submitted on: Monday, 30 January 2012 11:40:33 Updated on: Monday, 30 January 2012 11:49:41