Lévy process conditioned by its height process

Abstract : 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.
Type de document :
Pré-publication, Document de travail
34 pages, 2 figures. 2011
Liste complète des métadonnées


https://hal.archives-ouvertes.fr/hal-00599921
Contributeur : Mathieu Richard <>
Soumis le : lundi 30 janvier 2012 - 11:40:33
Dernière modification le : jeudi 27 avril 2017 - 09:46:23
Document(s) archivé(s) le : mercredi 14 décembre 2016 - 02:30:53

Fichier

Levy_conditionne_3.pdf
Fichiers produits par l'(les) auteur(s)

Identifiants

  • HAL Id : hal-00599921, version 2

Collections

UPMC | INSMI | USPC | PMA

Citation

Mathieu Richard. Lévy process conditioned by its height process. 34 pages, 2 figures. 2011. <hal-00599921v2>

Partager

Métriques

Consultations de
la notice

142

Téléchargements du document

35