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Time-changed spectrally positive L��vy processes starting from infinity

Authors :
Foucart, Cl��ment
Li, Pei-Sen
Zhou, Xiaowen
Publication Year :
2019
Publisher :
arXiv, 2019.

Abstract

Consider a spectrally positive L��vy process $Z$ with log-Laplace exponent $��$ and a positive continuous function $R$ on $(0,\infty)$. We investigate the entrance from $\infty$ of the process $X$ obtained by changing time in $Z$ with the inverse of the additive functional $��(t)=\int_{0}^{t}\frac{{\rm d} s}{R(Z_s)}$. We provide a necessary and sufficient condition for infinity to be an entrance boundary of the process $X$. Under this condition, the process can start from infinity and we study its speed of coming down from infinity. When the L��vy process has a negative drift $��:=-��0$ and $R$ is regularly varying at $\infty$ with index $��>��$, the process comes down from infinity and we find a renormalisation in law of its running infimum at small times.

Details

Database :
OpenAIRE
Accession number :
edsair.doi...........4302e4968fe322225f30d32fbd344716
Full Text :
https://doi.org/10.48550/arxiv.1901.10689