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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 language | English |
|---|---|
| Pages (from-to) | 1234-1254 |
| Journal | Stochastic Processes and their Applications |
| Volume | 127 |
| Issue number | 4 |
| Early online date | 9 Aug 2016 |
| DOIs | |
| Publication status | Published - 1 Apr 2017 |
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Dive into the research topics of 'Conditioning subordinators embedded in Markov processes'. Together they form a unique fingerprint.Projects
- 2 Finished
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Real-Valued Self-Similar Markov Processes and their Applications
Kyprianou, A. (PI)
2/06/14 → 1/10/17
Project: Research council
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