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Sina?ˇ's condition for real valued Lévy processes
Authors:Víctor Rivero
Institution:Équipe MODAL'X, Université Paris X Nanterre, UFR SEGMI, 200, Avuenue de la République, 92000 Nanterre Cedex, France
Abstract:We prove that the upward ladder height subordinator H associated to a real valued Lévy process ξ has Laplace exponent φ that varies regularly at ∞ (respectively, at 0) if and only if the underlying Lévy process ξ satisfies Sina?ˇ's condition at 0 (respectively, at ∞). Sina?ˇ's condition for real valued Lévy processes is the continuous time analogue of Sina?ˇ's condition for random walks. We provide several criteria in terms of the characteristics of ξ to determine whether or not it satisfies Sina?ˇ's condition. Some of these criteria are deduced from tail estimates of the Lévy measure of H, here obtained, and which are analogous to the estimates of the tail distribution of the ladder height random variable of a random walk which are due to Veraverbeke and Grübel.
Keywords:60G30  60G51
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