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A new fluctuation identity for Lévy processes and some applications

Larbi Alili and Loïc Chaumont

Source: Bernoulli Volume 7, Number 3 (2001), 557-569.

Abstract

Let τ and H be respectively the ladder time and ladder height processes associated with a given Lévy process X. We give an identity in law between (τ,H) and (X,H*), H* being the right-continuous inverse of the process H. This allows us to obtain a relationship between the entrance law of X and the entrance law of the excursion measure away from 0 of the reflected process (Xt- infs≤tXs, t ≥0). In the stable case, some explicit calculations are provided. These results also lead to an explicit form of the entrance law of the Lévy process conditioned to stay positive.

Keywords: excursion measure; fluctuation theory; Lévy processes; local time

Full-text: Open access

Links and Identifiers

Permanent link to this document: http://projecteuclid.org/euclid.bj/1080004766
Mathematical Reviews number (MathSciNet): MR2002f:60090
Zentralblatt MATH identifier: 1003.60045

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