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On Lévy processes conditioned to stay positive.

Dublin Core		PKP Metadata Items	Metadata for this Document
1.	Title	Title of document	On Lévy processes conditioned to stay positive.
2.	Creator	Author's name, affiliation, country	Loïc Chaumont; LPMA - Université Paris 6
2.	Creator	Author's name, affiliation, country	Ronald Arthur Doney; Department of Mathematics- University of Manchester
3.	Subject	Discipline(s)
3.	Subject	Keyword(s)	L'evy process conditioned to stay positive, path decomposition, weak convergence, excursion measure, creeping.
3.	Subject	Subject classification	60G51, 60G17.
4.	Description	Abstract	We construct the law of Lévy processes conditioned to stay positive under general hypotheses. We obtain a Williams type path decomposition at the minimum of these processes. This result is then applied to prove the weak convergence of the law of Lévy processes conditioned to stay positive as their initial state tends to 0. We describe an absolute continuity relationship between the limit law and the measure of the excursions away from 0 of the underlying Lévy process reflected at its minimum. Then, when the Lévy process creeps upwards, we study the lower tail at 0 of the law of the height of this excursion.
5.	Publisher	Organizing agency, location
6.	Contributor	Sponsor(s)
7.	Date	(YYYY-MM-DD)	2005-07-14
8.	Type	Status & genre	Peer-reviewed Article
8.	Type	Type
9.	Format	File format	PDF
10.	Identifier	Uniform Resource Identifier	http://ejp.ejpecp.org/article/view/261
10.	Identifier	Digital Object Identifier	10.1214/EJP.v10-261
11.	Source	Journal/conference title; vol., no. (year)	Electronic Journal of Probability; Vol 10
12.	Language	English=en
14.	Coverage	Geo-spatial location, chronological period, research sample (gender, age, etc.)
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