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Abstract
Taking account of recent developments in the representation of d-dimensional isotropic stable Lévy processes as self-similar Markov processes, we consider a number of new ways to condition its path. Suppose that S is a region of the unit sphere Sd−1={x∈Rd:|x|=1}. We construct the aforesaid stable Lévy process conditioned to approach S continuously from either inside or outside of the sphere. Additionally, we show that these processes are in duality with the stable process conditioned to remain inside the sphere and absorb continuously at the origin and to remain outside of the sphere, respectively. Our results extend the recent contributions of Döring and Weissman (2020), where similar conditioning is considered, albeit in one dimension as well as providing analogues of the same classical results for Brownian motion, cf. Doob (1957). As in Döring and Weissman (2020), we appeal to recent fluctuation identities related to the deep factorisation of stable processes, cf. Kyprianou (2016), Kyprianou etal. (2020) and Kyprianou etal. (2017).
Original language | English |
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Pages (from-to) | 272-293 |
Number of pages | 22 |
Journal | Stochastic Processes and their Applications |
Volume | 137 |
Early online date | 20 Apr 2021 |
DOIs | |
Publication status | Published - 31 Jul 2021 |
Bibliographical note
Funding Information:All three authors are grateful to two anonymous referees for careful reading of an earlier version of this article and asking challenging, insightful questions, which resulted in significant improvements to this article. TS acknowledges support from a Schlumberger Faculty of the Future award . SP acknowledges support from the Royal Society, UK as a Newton International Fellow Alumnus ( AL191032 ) and UNAM-DGAPA -PAPIIT (Mexico) grant no. IA103220 .
Publisher Copyright:
© 2021 Elsevier B.V.
Copyright:
Copyright 2021 Elsevier B.V., All rights reserved.
Keywords
- Duality
- Radial excursion
- Stable process
- Time reversal
ASJC Scopus subject areas
- Statistics and Probability
- Modelling and Simulation
- Applied Mathematics
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- 1 Finished
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Real-Valued Self-Similar Markov Processes and their Applications
Kyprianou, A. (PI)
Engineering and Physical Sciences Research Council
2/06/14 → 1/10/17
Project: Research council