Completely asymmetric stable processes conditioned to avoid an interval
| Autor: | Lenthe, Pierre, Weissmann, Philip |
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| Rok vydání: | 2019 |
| Předmět: | |
| Zdroj: | J. Appl. Probab. 56 (2019) 1187-1197 |
| Druh dokumentu: | Working Paper |
| DOI: | 10.1017/jpr.2019.66 |
| Popis: | In the recent article D\"oring et al. [4] the authors conditioned a stable process with two-sided jumps to avoid an interval. As usual the strategy was to find an invariant function for the process killed on entering the interval and to show that the corresponding h-transformed process is indeed the process conditioned to avoid an interval in a meaningful way. In the present article we consider the case of a completely asymmetric stable process. It turns out that the invariant function found in [4] does not exist or is not invariant but nonetheless, we will characterize the conditioned process as a Markov process. Comment: 10 pages. arXiv admin note: text overlap with arXiv:1807.08466 |
| Databáze: | arXiv |
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