Regularity of the half-line for Levy processes

被引:0
|
作者
Bertoin, J
机构
来源
BULLETIN DES SCIENCES MATHEMATIQUES | 1997年 / 121卷 / 05期
关键词
Levy process; hitting time;
D O I
暂无
中图分类号
O29 [应用数学];
学科分类号
070104 ;
摘要
Consider a real-valued Levy process X started at 0. One says that 0 is regular for (0, infinity) if X enters (0, infinity) immediately. ROGOZIN proved that 0 is regular for (0, infinity) if X has unbounded variation, and SHTATLAND that if X has bounded variation and drift coefficient delta, then 0 is regular for (0, infinity) when delta > 0 but not when delta < 0. We characterize in terms of their Levy measures the Levy processes with bounded variation and zero drift for which 0 is regular for (0, infinity). The result is related to a Theorem of ERICKSON On the asymptotic behaviour of random walks.
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页码:345 / 354
页数:10
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