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
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
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
Journal: Stochastic Processes and their Applications - Volume 127, Issue 4, April 2017, Pages 1234-1254
نویسندگان
Andreas E. Kyprianou, Victor Rivero, Batı Åengül,