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Article Dans Une Revue Progress in Probability Année : 2015

Shifting Processes with Cyclically Exchangeable Increments at Random

Résumé

We propose a path transformation which applied to a cyclically exchangeable increment process conditions its minimum to belong to a given interval.

This path transformation is then applied to processes with start and end at 0. It is seen that, under simple conditions, the weak limit as ε→0 of the process conditioned on remaining above −ε exists and has the law of the Vervaat transformation of the process.

We examine the consequences of this path transformation on processes with exchangeable increments, Lévy bridges, and the Brownian bridge.

Dates et versions

hal-01392197 , version 1 (04-11-2016)

Identifiants

Citer

Loïc Chaumont, Geronimo Uribe. Shifting Processes with Cyclically Exchangeable Increments at Random. Progress in Probability, 2015, 69, pp.101-117. ⟨10.1007/978-3-319-13984-5_5⟩. ⟨hal-01392197⟩
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