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Right inverses of Lévy processes and stationary stopped local times
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  • Published: 12 February 2014

Right inverses of Lévy processes and stationary stopped local times

  • Steven N. Evans1 

Probability Theory and Related Fields volume 118, pages 37–48 (2000)Cite this article

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Abstract

If X is a symmetric Lévy process on the line, then there exists a non-decreasing, càdlàg process H such that X(H(x)) = x for all x≥ 0 if and only if X is recurrent and has a non-trivial Gaussian component. The minimal such H is a subordinator K. The law of K is identified and shown to be the same as that of a linear time change of the inverse local time at 0 of X. When X is Brownian motion, K is just the usual ladder times process and this result extends the classical result of Lévy that the maximum process has the same law as the local time at 0. Write G t for last point in the range of K prior to t. In a parallel with classical fluctuation theory, the process Z := (X t −X Gt ) t ≥0 is Markov with local time at 0 given by (X Gt ) t ≥0. The transition kernel and excursion measure of Z are identified. A similar programme is outlined for Lévy processes on the circle. This leads to the construction of a stopping time such that the stopped local times constitute a stationary process indexed by the circle.

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Authors and Affiliations

  1. Department of Statistics #3860, University of California at Berkeley, 367 Evans Hall, Berkeley, CA 94720-3860, USA. e-mail: evans@stat.Berkeley.edu, US

    Steven N. Evans

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  1. Steven N. Evans
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Received: 7 September 1999 / Revised version: 9 November 1999 / Published online: 8 August 2000

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Cite this article

Evans, S. Right inverses of Lévy processes and stationary stopped local times. Probab Theory Relat Fields 118, 37–48 (2000). https://doi.org/10.1007/PL00008741

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  • Published: 12 February 2014

  • Issue Date: September 2000

  • DOI: https://doi.org/10.1007/PL00008741

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Keywords

  • Brownian Motion
  • Local Time
  • Standard Brownian Motion
  • Transition Kernel
  • Theory Relate Field
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