Loic Chaumont (University of Angers)
Title: Creeping of Lévy processes through curves.
Abstract: A real Lévy process X is said to creep upward if for some (and hence for all) x>0,
with positive probability, the process X hits x at its first passage time above x. Necessary and
sufficient conditions for a Lévy process to creep upward are well known as well as the probability
to creep through each level x.
In this work we study the creeping property of a Lévy process X issued from 0 through the
graph of a continuous, non increasing function f such that f(0)=1. We give an expression of
the probability that X creeps through f in terms of the drift coefficients of the upward ladder
processes and the density of the entrance law of the excursions of X reflected at its infimum.
This is a joint work with my PhD student Thomas Pellas.
Link:
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