کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5130178 1378663 2017 21 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Conditioning subordinators embedded in Markov processes
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Conditioning subordinators embedded in Markov processes
چکیده انگلیسی

The running infimum of a Lévy process relative to its point of issue is known to have the same range that of the negative of a certain subordinator. Conditioning a Lévy process issued from a strictly positive value to stay positive may therefore be seen as implicitly conditioning its descending ladder height subordinator to remain in a strip. Motivated by this observation, we consider the general problem of conditioning a subordinator to remain in a strip. Thereafter we consider more general contexts in which subordinators embedded in the path decompositions of Markov processes are conditioned to remain in a strip.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 127, Issue 4, April 2017, Pages 1234-1254
نویسندگان
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