Conditioning to avoid bounded sets for a one-dimensional Lévy processes

2025/01/06 by Kohki Iba, Iba, Kohki · 1 citation
Decision Sciences · #Advanced Statistical Process Monitoring #FOS: Mathematics #Probability (math.PR)

paper · pdf · doi:10.48550/arxiv.2501.02776

openalex publication_date 2025/01/06 · openalex created_date 2025/01/08 · openalex updated_date 2026/07/28

Abstract

For several classes of bounded sets A, the limit of a one-dimensional Lévy process conditioned to avoid A up to a parametrized random time which tends to infinity. For A we take the set of finite points with several clocks and a bounded F_σ-set with exponential clock. We also take an integer lattice with exponential clock.

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