Tanaka’s Construction for Random Walks and Lévy Processes

Processus de L\’evy
Part of the Lecture Notes in Mathematics book series (LNM, volume 1857)

Abstract

Tanaka’s construction gives a pathwise construction of “random walk conditioned to stay positive”, and has recently been used in [3] and [8] to establish other results about this process. In this note we give a simpler proof of Tanaka’s construction using a method which also extends to the case of Lévy processes.

Copyright information

© Springer-Verlag Berlin/Heidelberg 2005

Authors and Affiliations

  1. 1.Department of MathematicsUniversity of ManchesterManchesterUK

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