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Lévy processes conditioned to stay in a half-space with applications to directional extremes

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This paper provides a multivariate extension of Bertoin’s pathwise construction of a Lévy process conditioned to stay positive or negative. Thus obtained processes conditioned to stay in half-spaces are closely related to the original process on a compact time interval seen from its directional extremal points. In the case of a correlated Brownian motion the law of the conditioned process is obtained by a linear transformation of a standard Brownian motion and an independent Bessel-3 process. Further motivation is provided by a limit theorem corresponding to zooming in on a Lévy process with a Brownian part at the point of its directional infimum. Applications to zooming in at the point furthest from the origin are envisaged.

Original languageEnglish
JournalModern Stochastics: Theory and Applications
Pages (from-to)59-75
Number of pages17
Publication statusPublished - Jan 2023

Bibliographical note

Publisher Copyright:
© 2023 The Author(s).

    Research areas

  • Conditioning to stay positive, Sparre Andersen identity, directional extremes, exchangeability, local behavior

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