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2019 Lévy processes with finite variance conditioned to avoid an interval
Leif Döring, Alexander R. Watson, Philip Weissmann
Electron. J. Probab. 24: 1-32 (2019). DOI: 10.1214/19-EJP306


Conditioning Markov processes to avoid a set is a classical problem that has been studied in many settings. In the present article we study the question if a Lévy process can be conditioned to avoid an interval and, if so, the path behavior of the conditioned process. For Lévy processes with finite second moments we show that conditioning is possible and identify the conditioned process as an $h$-transform of the original killed process. The $h$-transform is explicit in terms of successive overshoot distributions and is used to prove that the conditioned process diverges to $+\infty $ and $-\infty $ with positive probabilities.


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Leif Döring. Alexander R. Watson. Philip Weissmann. "Lévy processes with finite variance conditioned to avoid an interval." Electron. J. Probab. 24 1 - 32, 2019.


Received: 23 July 2018; Accepted: 10 April 2019; Published: 2019
First available in Project Euclid: 5 June 2019

zbMATH: 07068786
Digital Object Identifier: 10.1214/19-EJP306

Primary: 60G44 , 60G51 , 60J25

Keywords: Doob $h$-transform , killed Lévy processes , Lévy processes , Markov processes , Martingales


Vol.24 • 2019
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