On the law of the supremum of Lévy processes

Loïc Chaumont (1)

1 LAREMA - Laboratoire Angevin de Recherche en Mathématiques

We show that the law of the overall supremum $\overline{X}_t=\sup_{s\le t}X_s$ of a Lévy process $X$ before the deterministic time $t$ is equivalent to the average occupation measure $\mu_t(dx)=\int_0^t\p(X_s\in dx)\,ds$, whenever 0 is regular for both open halflines $(-\infty,0)$ and $(0,\infty)$. In this case, $\p(\overline{X}_t\in dx)$ is absolutely continuous for some (and hence for all) $t>0$, if and only if the resolvent measure of $X$ is absolutely continuous. We also study the cases where 0 is not regular for one of the halflines $(-\infty,0)$ or $(0,\infty)$. Then we give absolute continuity criterions for the laws of $(\overline{X}_t,X_t)$, $(g_t,\overline{X}_t)$ and $(g_t,\overline{X}_t,X_t)$, where $g_t$ is the time at which the supremum occurs before $t$. The proofs of these results use an expression of the joint law $\p(g_t\in ds,X_t\in dx,\overline{X}_t\in dy)$ in terms of the entrance law of the excursion measure of the reflected process at the supremum and that of the reflected process at the infimum. As an application, this law is made (partly) explicit in some particular instances.

Mots clés: Past supremum; equivalent measures; absolute continuity; expected occupation time; excursion measure; reflected process.; reflected process

Domaines: Probabilités [math.PR]

Loïc Chaumont. On the law of the supremum of Lévy processes. 2010. ⟨hal-00537222v1⟩