Article ID Journal Published Year Pages File Type
5130178 Stochastic Processes and their Applications 2017 21 Pages PDF
Abstract

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.

Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
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