Conditioning subordinators embedded in Markov processes

Andreas E. Kyprianou, Victor Rivero Mercado, Bati Sengul

Research output: Contribution to journalArticlepeer-review

8 Citations (SciVal)

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.
Original languageEnglish
Pages (from-to)1234-1254
JournalStochastic Processes and their Applications
Volume127
Issue number4
Early online date9 Aug 2016
DOIs
Publication statusPublished - 1 Apr 2017

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