Stable processes conditioned to hit an interval continuously from the outside

2018/09/18 by Döring, Leif, Weissmann, Philip
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1809.06734

Abstract

Conditioning stable Lévy processes on zero probability events recently became a tractable subject since several explicit formulas emerged from a deep analysis using the Lamperti transformations for self-similar Markov processes. In this article we derive new harmonic functions and use them to explain how to condition stable processes to hit continuously a compact interval from the outside.

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