Tokyo Journal of Mathematics

Lévy Processes with Negative Drift Conditioned to Stay Positive

Katsuhiro HIRANO

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Let $X$ be a Lévy process with negative drift starting from $x>0$, and let $\tau$ and $\tau_s$ be the first passage times to $(-\infty,0]$ and $(s,\infty)$, respectively. Under appropriate exponential moment conditions of $X$, we show that, for every $A\in\mathcal{F}_t$, the conditional laws $P_x(X\in A | \tau>s)$ and $P_x(X\in A | \tau>\tau_s)$ converge to different distributions as $s\rightarrow\infty$. Both of them can be regarded as the laws of $X$ conditioned to stay positive. We characterize these limit laws in terms of $h$-transforms, by the renewal functions, of some Lévy processes killed at the entrance time into $(-\infty,0]$.

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Tokyo J. of Math. Volume 24, Number 1 (2001), 291-308.

First available in Project Euclid: 19 October 2009

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HIRANO, Katsuhiro. Lévy Processes with Negative Drift Conditioned to Stay Positive. Tokyo J. of Math. 24 (2001), no. 1, 291--308. doi:10.3836/tjm/1255958329.

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