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Increase of stable processes
Authors:Jean Bertoin
Institution:(1) Laboratoire de Probabilités (C.N.R.S.), Université Pierre et Marie Curie, 4, Place Jussieu tour 56, 3ème étage, 75252 Paris Cedex 05, France
Abstract:One says thatt>0 is an increase time for a real-valued path ohgr if ohgr stays above the level ohgr(t) immediately after timet, and below ohgr(t) immediately before timet. Dvoretzkyet al.,(10) proved that Brownian motion has no increase times a.s. This result is extended here to (strictly) stable processes. Specifically, the probability that a stable processX possesses increase times is 0 if and only ifP(X 1ge0)le1/2.
Keywords:Stable process  increase points
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