Processus de L\’evy

Séminaire de Probabilités XXXVIII

Volume 1857 of the series Lecture Notes in Mathematics pp 1-4

Date:

Tanaka’s Construction for Random Walks and Lévy Processes

  • Ronald A. DoneyAffiliated withDepartment of Mathematics, University of Manchester Email author 

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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.