By killing a stable Lévy process when it leaves the positive half-line, or by conditioning it to stay positive, or by conditioning it to hit 0 continuously, we obtain three different positive self-similar Markov processes which illustrate the three classes described by Lamperti \cite{La}. For each of these processes, we compute explicitly the infinitesimal generator from which we deduce the characteristics of the underlying Lévy process in the Lamperti representation. The proof of this result bears on the behaviour at time 0 of stable Lévy processes before their first passage time across level 0 which we describe here. As an application, we give the law of the minimum before an independent exponential time of a certain class of Lévy processes. It provides the explicit form of the spacial Wiener-Hopf factor at a particular point and the value of the ruin probability for this class of Lévy processes.
This paper considers discretization of the Lévy process appearing in the Lamperti representation of a strictly positive self-similar Markov process. Limit theorems for the resulting approximation are established under some regularity assumptions on the given Lévy process. Additionally, the scaling limit of a positive self-similar Markov process at small times is provided. Finally, we present an application to simulation of self-similar Lévy processes conditioned to stay positive.
We consider a new family of $\R^d$-valued Lévy processes that we call Lamperti stable. One of the advantages of this class is that the law of many related functionals can be computed explicitely (see for instance \cite{cc}, \cite{ckp}, \cite{kp} and \cite{pp}). This family of processes shares many properties with the tempered stable and the layered stable processes, defined in Rosiński \cite{ro} and Houdré and Kawai \cite{hok} respectively, for instance their short and long time behaviour. Additionally, in the real valued case we find a series representation which is used for sample paths simu…
In this paper, for $α\in (1, 2}$ we show that the $α$-stable continuous-state branching process and the associated process conditioned never to become extinct are positive self-similar Markov processes. Understanding the interaction of the Lamperti transformation for continuous-state branching processes and the Lamperti transformation for positive self-similar Markov processes permits accessto a number of explicit results concerning the paths of stable-continuous branching processes and its conditioned version.
A classic result on the 1-dimensional Brownian motion shows that conditionally on its first hitting time of 0, it has the distribution of a 3-dimensional Bessel bridge. By applying a certain time-change to this result, Matsumoto and Yor showed a theorem giving a relation between Brownian motions with opposite drifts. The relevant time change is the one appearing in Lamperti's relation. Sabot and Zeng showed that a family of Brownian motions with interacting drifts, conditioned on the vector of hitting times of 0, also has the distribution of independent 3-dimensional Bessel bridges. Moreover, …
The Lamperti--Kiu transformation for real-valued self-similar Markov processes (rssMp) states that, associated to each rssMp via a space-time transformation, there is a Markov additive process (MAP). In the case that the rssMp is taken to be an $α$-stable process with $α\in(0,2)$, Chaumont et al. (2013) and Kuznetsov et al. (2014) have computed explicitly the characteristics of the matrix exponent of the semi-group of the embedded MAP, which we henceforth refer to as the {\it Lamperti-stable MAP}. Specifically, the matrix exponent of the Lamperti-stable MAP's transition semi-group can be writt…
Guided by the relationship between the breadth-first walk of a rooted tree and its sequence of generation sizes, we are able to include immigration in the Lamperti representation of continuous-state branching processes. We provide a representation of continuous-state branching processes with immigration by solving a random ordinary differential equation driven by a pair of independent Levy processes. Stability of the solutions is studied and gives, in particular, limit theorems (of a type previously studied by Grimvall, Kawazu and Watanabe and by Li) and a simulation scheme for continuous-stat…
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.
This paper explores various distributional aspects of random variables defined as the ratio of two independent positive random variables where one variable has an $α$-stable law, for $0<α<1$, and the other variable has the law defined by polynomially tilting the density of an $α$-stable random variable by a factor $θ>-α$. When $θ=0$, these variables equate with the ratio investigated by Lamperti [Trans. Amer. Math. Soc. 88 (1958) 380--387] which, remarkably, was shown to have a simple density. This variable arises in a variety of areas and gains importance from a close connection to the stable…
For any two-sided jumping $α$-stable process, where $1 < α< 2$, we find an explicit identity for the law of the first hitting time of the origin. This complements existing work in the symmetric case and the spectrally one-sided case; cf. Yano-Yano-Yor (2009) and Cordero (2010), and Peskir (2008) respectively. We appeal to the Lamperti-Kiu representation of Chaumont-Pantí-Rivero (2011) for real-valued self-similar Markov processes. Our main result follows by considering a vector-valued functional equation for the Mellin transform of the integrated exponential Markov additive process in the Lamp…
Here we propose a different perspective of the deep factorisation in Kyprianou (2015) based on determining potentials. Indeed, we factorise the inverse of the MAP-exponent associated to a stable process via the Lamperti-Kiu transform. Here our factorisation is completely independent from the derivation in Kyprianou (2015) , moreover there is no clear way to invert the factors in Kyprianou (2015) to derive our results. Our method gives direct access to the potential densities of the ascending and descending ladder MAP of the Lamperti-stable MAP in closed form. In the spirit of the interplay bet…
For a stable process, we give an explicit formula for the potential measure of the process killed outside a bounded interval and the joint law of the overshoot, undershoot and undershoot from the maximum at exit from a bounded interval. We obtain the equivalent quantities for a stable process reflected in its infimum. The results are obtained by exploiting a simple connection with the Lamperti representation and exit problems of stable processes.
Understanding the space-time features of how a Lévy process crosses a constant barrier for the first time, and indeed the last time, is a problem which is central to many models in applied probability such as queueing theory, financial and actuarial mathematics, optimal stopping problems, the theory of branching processes to name but a few. In \cite{KD} a new quintuple law was established for a general Lévy process at first passage below a fixed level. In this article we use the quintuple law to establish a family of related joint laws, which we call $n$-tuple laws, for Lévy processes, Lévy pr…
In recent work, Chaumont et al. [9] showed that is possible to condition a stable process with index $α \in (1,2)$ to avoid the origin. Specifically, they describe a new Markov process which is the Doob h-transform of a stable process and which arises from a limiting procedure in which the stable process is conditioned to have avoided the origin at later and later times. A stable process is a particular example of a real self-similar Markov process (rssMp) and we develop the idea of such conditionings further to the class of rssMp. Under appropriate conditions, we show that the specific case o…
We study a class of self-similar jump type SDEs driven by Hölder-continuous drift and noise coefficients. Using the Lamperti transformation for positive self-similar Markov processes we obtain a necessary and sufficient condition for almost sure extinction in finite time. We then show that for certain parameters pathwise uniqueness holds in a restricted sense, namely among solutions spending a Lebesgue-negligible amount of time at 0. A direct power transformation plays a key role.
Dilative stability generalizes the property of selfsimilarity for infinitely divisible stochastic processes by introducing an additional scaling in the convolution exponent. Inspired by results of Iglói, we will show how dilatively stable processes with independent increments can be represented by integrals with respect to time-changed Lévy processes. Via a Lamperti-type transformation these representations are shown to be closely connected to translatively stable processes of Ornstein-Uhlenbeck-type, where translative stability generalizes the notion of stationarity. The presented results com…
We establish integral tests and laws of the iterated logarithm at 0 and at $+\infty$, for the upper envelope of positive self-similar Markov processes. Our arguments are based on the Lamperti representation, time reversal arguments and on the study of the upper envelope of their future infimum due to Pardo \cite{Pa}. These results extend integral test and laws of the iterated logarithm for Bessel processes due to Dvoretsky and Erdös \cite{de} and stable Lévy processes conditioned to stay positive with no positive jumps due to Bertoin \cite{be1}.
The central result of this paper is an analytic duality relation for real-valued Lévy processes killed upon exiting a half-line. By Nagasawa's theorem, this yields a remarkable time-reversal identity involving the Lévy process conditioned to stay positive. As examples of applications, we construct a version of the Lévy process indexed by the entire real line and started from $-\infty$ which enjoys a natural spatial-stationarity property, and point out that the latter leads to a natural Lamperti-type representation for self-similar Markov processes in $(0,\infty)$ started from the entrance poin…
Deterministic population growth models with power-law rates can exhibit a large variety of growth behaviors, ranging from algebraic, exponential to hyperexponential (finite time explosion). In this setup, selfsimilarity considerations play a key role, together with two time substitutions. Two stochastic versions of such models are investigated, showing a much richer variety of behaviors. One is the Lamperti construction of selfsimilar positive stochastic processes based on the exponentiation of spectrally positive processes , followed by an appropriate time change. The other one is based on st…
Around the 1960s a celebrated collection of papers emerged offering a number of explicit identities for the class of isotropic stable processes in one and higher dimensions; these include, for example, the lauded works of Blumenthal, Getoor, Ray, Port and Rogozin. Amongst other things, these results nicely exemplify the use of standard Riesz potential theory on the unit open ball $\mathbb{B}_d :=\{ x\in \mathbb{R}^d :|x|<1\}$, $\mathbb{R}^d\backslash\mathbb{B}_d$ and $\mathbb{S}_d :=\partial \mathbb{B}_d$ with the, then, modern theory of potential analysis for Markov processes. Following initi…
Mixed moving average processes appear in the ergodic decomposition of stationary symmetric α-stable (SαS) processes. They correspond to the dissipative part of "deterministic" flows generating SαS processes (Rosinski, 1995). Along these lines we study stationary increment and self-similar SαS processes. Since the classes of stationary increment and self-similar processes can be embedded into the class of stationary processes by the Masani and Lamperti transformations, respectively, we characterize these classes of SαS processes in terms of nonsingular flows and the related cocycles. We illustr…
We consider some special classes of Lévy processes with no gaussian component whose Lévy measure is of the type $π(dx)=e^{γx}ν(e^x-1) dx$, where $ν$ is the density of the stable Lévy measure and $γ$ is a positive parameter which depends on its characteristics. These processes were introduced in \cite{CC} as the underlying Lévy processes in the Lamperti representation of conditioned stable Lévy processes. In this paper, we compute explicitly the law of these Lévy processes at their first exit time from a finite or semi-finite interval, the law of their exponential functional and the first hitti…
In this paper, we continue our understanding of the stable process from the perspective of the theory of self-similar Markov processes in the spirit of the recent papers of Kyprianou (2016) and Kyprianou et al. (2017). In particular, we turn our attention to the case of $d$-dimensional isotropic stable process, for $d\geq 2$. Using a completely new approach we consider the distribution of the point of closest reach. This leads us to a number of other substantial new results for this class of stable processes. We engage with a new radial excursion theory, never before used, from which we develo…
We give a realization of the stable Lévy forest of a given size conditioned by its mass from the path of the unconditioned forest. Then, we prove an invariance principle for this conditioned forest by considering $k$ independent Galton-Watson trees whose offspring distribution is in the domain of attraction of any stable law conditioned on their total progeny to be equal to $n$. We prove that when $n$ and $k$ tend towards $+\infty$, under suitable rescaling, the associated coding random walk, the contour and height processes converge in law on the Skorokhod space respectively towards the "firs…
We show that any $\mathbb{R}^d\setminus\{0\}$-valued self-similar Markov process $X$, with index $α>0$ can be represented as a path transformation of some Markov additive process (MAP) $(θ,ξ)$ in $S_{d-1}\times\mathbb{R}$. This result extends the well known Lamperti transformation. Let us denote by $\widehat{X}$ the self-similar Markov process which is obtained from the MAP $(θ,-ξ)$ through this extended Lamperti transformation. Then we prove that $\widehat{X}$ is in weak duality with $X$, with respect to the measure $π(x/\|x\|)\|x\|^{α-d}dx$, if and only if $(θ,ξ)$ is reversible with respect …
In the recent article Döring 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 a…
We establish uniform sub-exponential tail bounds for the width, height and maximal outdegree of critical Bienaymé-Galton-Watson trees conditioned on having a large fixed size, whose offspring distribution belongs to the domain of attraction of a stable law. This extends results obtained for the height and width by Addario-Berry, Devroye & Janson in the finite variance case.
Max-stable processes are widely used to model spatial extremes. These processes exhibit asymptotic dependence meaning that the large values of the process can occur simultaneously over space. Recently, inverted max-stable processes have been proposed as an important new class for spatial extremes which are in the domain of attraction of a spatially independent max-stable process but instead they cover the broad class of asymptotic independence. To study the extreme values of such processes we use the conditioned approach to multivariate extremes that characterises the limiting distribution of …
Conditioning Markov processes to avoid a domain is a classical problem that has been studied in many settings. Ingredients for standard arguments involve the leading order tail asymptotics of the distribution of the first hitting time of the domain of interest and its relation to an underlying harmonic function. In the present article we condition stable processes to avoid intervals. The required tail asymptotics in the stable setting for $α\geq 1$ go back to classical work of Blumenthal et al. and Port from the 1960s. For $α<1$, we appeal to recent results centred around the so-called deep fa…
Let $M$ and $τ$ be the supremum and its time of a Lévy process $X$ on some finite time interval. It is shown that zooming in on $X$ at its supremum, that is, considering $((X_{τ+t\varepsilon}-M)/a_\varepsilon)_{t\in\mathbb R}$ as $\varepsilon\downarrow 0$, results in $(ξ_t)_{t\in\mathbb R}$ constructed from two independent processes having the laws of some self-similar Lévy process $\widehat X$ conditioned to stay positive and negative. This holds when $X$ is in the domain of attraction of $\widehat X$ under the zooming-in procedure as opposed to the classical zooming out of Lamperti (1962). A…
Consider a stable Lévy process $X=(X_t,t\geq 0)$ and let $T_x$, for $x>0$, denote the first passage time of $X$ above the level $x$. In this work, we give an alternative proof of the absolute continuity of the law of $T_x$ and we obtain a new expression for its density function. Our approach is elementary and provides a new insight into the study of the law of $T_x$. The random variable $T_x^0$, defined as the limit of $T_x$ when the corresponding overshoot tends to $0$, plays an important role in obtaining these results. Moreover, we establish a relation between the random variable $T_x^0$ an…
Let $X=(X_t, t\geq 0)$ be a self-similar Markov process taking values in $\mathbb{R}$ such that the state 0 is a trap. In this paper, we present a necessary and sufficient condition for the existence of a self-similar recurrent extension of $X$ that leaves 0 continuously. The condition is expressed in terms of the associated Markov additive process via the Lamperti-Kiu representation. Our results extend those of Fitzsimmons (2006) and Rivero (2005, 2007) where the existence and uniqueness of a recurrent extension for positive self similar Markov processes were treated. In particular, we descri…
We give an invariance principle for very general additive functionals of conditioned Bienaym{é}-Galton-Watson trees in the global regime when the offspring distribution lies in the domain of attraction of a stable distribution, the limit being an additive functional of a stable L{é}vy tree. This includes the case when the offspring distribution has finite variance (the L{é}vy tree being then the Brownian tree). We also describe, using an integral test, a phase transition for toll functions depending on the size and height.
Bañuelos and Bogdan (2004) and Bogdan, Palmowski and Wang (2016) analyse the asymptotic tail distribution of the first time a stable (Lévy) process in dimension $d\geq 2$ exists a cone. We use these results to develop the notion of a stable process conditioned to remain in a cone as well as the the notion of a stable process conditioned to absorb continuously at the apex of a cone (without leaving the cone). As self-similar Markov processes we examine some of their fundamental properties through the lens of its Lamperti-Kiu decomposition. In particular we are interested to understand the under…
Let $\{S_n\}$ be a random walk in the domain of attraction of a stable law $\mathcal{Y}$, i.e. there exists a sequence of positive real numbers $(a_n)$ such that $S_n/a_n$ converges in law to $\mathcal{Y}$. Our main result is that the rescaled process $(S_{\lfloor nt\rfloor}/a_n, t\ge 0)$, when conditioned to stay positive, converges in law (in the functional sense) towards the corresponding stable Lévy process conditioned to stay positive. Under some additional assumptions, we also prove a related invariance principle for the random walk killed at its first entrance in the negative half-line …
We give a complete and unified description -- under some stability assumptions -- of the functional scaling limits associated with some persistent random walks for which the recurrent or transient type is studied in [1]. As a result, we highlight a phase transition phenomenon with respect to the memory. It turns out that the limit process is either Markovian or not according to -- to put it in a nutshell -- the rate of decrease of the distribution tails corresponding to the persistent times. In the memoryless situation, the limits are classical strictly stable L{é}vy processes of infinite vari…
We consider a random walk with a negative drift and with a jump distribution which under Cramér's change of measure belongs to the domain of attraction of a spectrally positive stable law. If conditioned to reach a high level and suitably scaled, this random walk converges in law to a nondecreasing Markov process which can be interpreted as a spectrally-positive Lévy %-Khinchin process conditioned not to overshoot level one.
We consider a one-dimensional diffusion in a stable Lévy environment. We show that the normalized local time process refocused at the bottom of the standard valley with height $\log t$, $(L_X(t,\mathfrak m_{\log t}+x)/t,x\in \R)$, converges in law to a functional of two independent Lévy processes conditioned to stay positive. To prove this result, we show that the law of the standard valley is close to a two-sided Lévy process conditioned to stay positive. We also obtain the limit law of the supremum of the normalized local time. This result has been obtained by Andreoletti and Diel in the cas…
In this work, we study asymptotics of the genealogy of Galton--Watson processes conditioned on the total progeny. We consider a fixed, aperiodic and critical offspring distribution such that the rescaled Galton--Watson processes converges to a continuous-state branching process (CSBP) with a stable branching mechanism of index $α\in (1, 2]$. We code the genealogy by two different processes: the contour process and the height process that Le Gall and Le Jan recently introduced \cite{LGLJ1, LGLJ1}. We show that the rescaled height process of the corresponding Galton--Watson family tree, with one…
We consider a process $Z$ on the real line composed from a Lévy process and its exponentially tilted version killed with arbitrary rates and give an expression for the joint law of $Z$ seen from its supremum, the supremum $\overline Z$ and the time $T$ at which the supremum occurs. In fact, it is closely related to the laws of the original and the tilted Lévy processes conditioned to stay negative and positive. The result is used to derive a new representation of stationary particle systems driven by Lévy processes. In particular, this implies that a max-stable process arising from Lévy proces…
Taking account of recent developments in the representation of $d$-dimensional isotropic stable Lévy processes as self-similar Markov processes, we consider a number of new ways to condition its path. Suppose that $Ω$ is a region of the unit sphere $\mathbb{S}^{d-1} = \{x\in \mathbb{R}^d: |x| =1\}$. We construct the aforesaid stable Lévy process conditioned to approach $\mathsf{S}$ continuously from either inside or outside of the sphere. Additionally, we show that %this these processes are in duality with the stable process conditioned to remain inside the sphere and absorb continuously at th…
In his seminal work from the 1950s, William Feller classified all one-dimensional diffusions on $-\infty\leq a<b\leq \infty$ in terms of their ability to access the boundary (Feller's test for explosions) and to enter the interior from the boundary. Feller's technique is restricted to diffusion processes as the corresponding differential generators allow explicit computations and the use of Hille-Yosida theory. In the present article we study exit and entrance from infinity for the most natural generalization, that is, jump diffusions of the form \[ dZ_t=σ(Z_{t-})\,dX_t, \] driven by stable Lé…
We give a simple new proof of a theorem of Duquesne, stating that the properly rescaled contour function of a critical aperiodic Galton-Watson tree, whose offspring distribution is in the domain of attraction of a stable law of index $θ\in (1,2]$, conditioned on having total progeny $n$, converges in the functional sense to the normalized excursion of the continuous-time height function of a strictly stable spectrally positive Lévy process of index $θ$. To this end, we generalize an idea of Le Gall which consists in using an absolute continuity relation between the conditional probability of h…
We prove an invariance principle for the bridge of a random walk conditioned to stay positive, when the random walk is in the domain of attraction of a stable law, both in the discrete and in the absolutely continuous setting. This includes as a special case the convergence under diffusive rescaling of random walk excursions toward the normalized Brownian excursion, for zero mean, finite variance random walks. The proof exploits a suitable absolute continuity relation together with some local asymptotic estimates for random walks conditioned to stay positive, recently obtained by Vatutin and W…
Let S_0=0,{S_n, n>0} be a random walk generated by a sequence of i.i.d. random variables X_1,X_2,... and let τ^{-} be the first descending ladder epoch. Assuming that the distribution of X_1 belongs to the domain of attraction of an α-stable law we study the asymptotic behavior of the local probabilities P(τ^{-}=n) and the conditional local probabilities P(S_n\in [x,x+y)|τ^{-}>n) for fixed y and x=x(n)\in (0,\infty).
We study the distribution of the area under the normalized excursion of a spectrally positive stable L{é}vy process L, as well as the area under its meander, and under L conditioned to stay positive. Our results involve a special case of Wright's function, which may be seen as a generalization of the classic Airy function appearing in similar Brownian's areas.
The purpose of this paper is to construct the law of a Lévy process conditioned to avoid zero, under mild technicals conditions, two of them being that the point zero is regular for itself and the Lévy process is not a compound Poisson process. Two constructions are proposed, the first lies on the method of $h$-transformation, which requires a deep study of the associated excessive function; while in the second it is obtained by conditioning the underlying Lévy process to avoid zero up to an independent exponential time whose parameter tends to $0.$ The former approach generalizes some of the …
Let $\{S_n,n\geq 0\} $ be a random walk whose increments belong without centering to the domain of attraction of an $α$-stable law $\{Y_t,t\geq 0\}$, i.e. $S_{nt}/a_n\Rightarrow Y_t,t\geq 0,$ for some scaling constants $a_n$. Assuming that $S_0=o(a_{n})$ and $S_n\leq φ(n)=o(a_n),$ we prove several conditional limit theorems for the distribution of $S_{n-m}$ given $m=o(n)$ and $\min_{0\leq k\leq n}S_k\geq 0$. These theorems complement the statements established by F. Caravenna and L. Chaumont in 2013. The obtained results are applied for studying the population size of a critical branching proc…
In this note, we consider the construction of a one-dimensional stable Langevin type process confined in the upper half-plane and submitted to reflective-diffusive boundary conditions whenever the particle position hits 0. We show that two main different regimes appear according to the values of the chosen parameters. We then use this study to construct the law of a (free) stable Langevin process conditioned to stay positive, thus extending earlier works on integrated Brownian motion. This construction further allows to obtain the exact asymptotics of the persistence probability of the integra…
We re-examine the celebrated Doob--McKean identity that identifies a conditioned one-dimensional Brownian motion as the radial part of a 3-dimensional Brownian motion or, equivalently, a Bessel-3 process, albeit now in the analogous setting of isotropic $α$-stable processes. We find a natural analogue that matches the Brownian setting, with the role of the Brownian motion replaced by that of the isotropic $α$-stable process, providing one interprets the components of the original identity in the right way.
The last couple of years has seen a remarkable number of new, explicit examples of the Wiener-Hopf factorization for Levy processes where previously there had been very few. We mention in particular the many cases of spectrally negative Levy processes, hyper-exponential and generalized hyper-exponential Levy processes, Lamperti-stable processes, Hypergeometric processes, Beta-processes and Theta-processes. In this paper we introduce a new family of Levy processes, which we call Meromorphic Levy processes, or just M-processes for short, which overlaps with many of the aforementioned classes. A …
A series of recent articles introduced a method to construct stochastic partial differential equations (SPDEs) which are invariant with respect to the distribution of a given conditioned diffusion. These works are restricted to the case of elliptic diffusions where the drift has a gradient structure and the resulting SPDE is of second-order parabolic type. The present article extends this methodology to allow the construction of SPDEs which are invariant with respect to the distribution of a class of hypoelliptic diffusion processes, subject to a bridge conditioning, leading to SPDEs which are…
Let $\{S_n, n\geq1\}$ be a random walk wih independent and identically distributed increments and let $\{g_n,n\geq1\}$ be a sequence of real numbers. Let $T_g$ denote the first time when $S_n$ leaves $(g_n,\infty)$. Assume that the random walk is oscillating and asymptotically stable, that is, there exists a sequence $\{c_n,n\geq1\}$ such that $S_n/c_n$ converges to a stable law. In this paper we determine the tail behaviour of $T_g$ for all oscillating asymptotically stable walks and all boundary sequences satisfying $g_n=o(c_n)$. Furthermore, we prove that the rescaled random walk conditione…
