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Sample Path Behaviors of Lévy Processes Conditioned to Avoid Zero

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  • Shosei Takeda

    (Rakunan High School)

Abstract

Takeda and Yano (Electron J Probab 28:1–35, 2023) determined the limit of Lévy processes conditioned to avoid zero via various random clocks in terms of Doob’s $$h$$ h -transform, where the limit processes may differ according to the choice of random clocks. The purpose of this paper is to investigate sample path behaviors of the limit processes in long time and in short time.

Suggested Citation

  • Shosei Takeda, 2024. "Sample Path Behaviors of Lévy Processes Conditioned to Avoid Zero," Journal of Theoretical Probability, Springer, vol. 37(4), pages 3177-3201, November.
    • Handle: RePEc:spr:jotpro:v:37:y:2024:i:4:d:10.1007_s10959-024-01352-2
    DOI: 10.1007/s10959-024-01352-2
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    References listed on IDEAS

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    1. Chaumont, L., 1996. "Conditionings and path decompositions for Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 64(1), pages 39-54, November.
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