Existence of quasi-stationary distributions for spectrally positive L\'evy processes on the half-line

Kosuke Yamato

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arXiv · 2208.11734

Existence of quasi-stationary distributions for spectrally positive L\'evy processes on the half-line

Kosuke Yamato

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Abstract

For spectrally positive L\'evy processes killed on exiting the half-line, existence of a quasi-stationary distribution is characterized by the exponential integrability of the exit time, the Laplace exponent and the non-negativity of the scale functions. It is proven that if there is a quasi-stationary distribution, there are necessarily infinitely many ones and the set of quasi-stationary distributions is characterized. A sufficient condition for the minimal quasi-stationary distribution to be the Yaglom limit is given.

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Kosuke Yamato. 2022-08-24. Existence of quasi-stationary distributions for spectrally positive L\'evy processes on the half-line. https://arxiv.org/abs/2208.11734

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