Two kinds of conditionings for stable Lévy processes

2009/01/10 by Kouji Yano, Yano, Kouji
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #60F05 #60G17 #60G52 #FOS: Mathematics #Probability (math.PR) #Probability and Risk Models #Stochastic processes and financial applications #Stochastic processes and statistical mechanics

paper · pdf · doi:10.48550/arxiv.0901.1374

openalex publication_date 2009/01/10 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

Two kinds of conditionings for one-dimensional stable Lévy processes are discussed via h -transforms of excursion measures: One is to stay positive, and the other is to avoid the origin.

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