Right inverses of Lévy processes

preprint2010arXivOpen access

Abstract

We call a right-continuous increasing process KxK_x a partial right inverse (PRI) of a given Lévy process XX if XKx=xX_{K_x}=x for at least all xx in some random interval [0,ζ)[0,ζ) of positive length. In this paper, we give a necessary and sufficient condition for the existence of a PRI in terms of the Lévy triplet.

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