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arXiv · 1501.00645

Perpetual Integrals for Levy Processes

Leif Doering·Andreas E. Kyprianou
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Abstract

We ask for necessary and sufficient conditions for almost sure finiteness of the perpetual integrals of a Levy process. Zero-one laws are already known for Brownian motion with drift and spectrally one-sided Levy processes. Under the assumption that local times exist, we use fluctuation theory and Jeulin's lemma to prove the zero-one law.

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Leif Doering, Andreas E. Kyprianou. 2015-01-04. Perpetual Integrals for Levy Processes. https://arxiv.org/abs/1501.00645

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