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Right inverses of Lévy processes: the excursion measure in the general case. (English) Zbl 1226.60071
Summary: This article is about right inverses of Lévy processes as first introduced by Evans in the symmetric case and later studied systematically by the present authors and their co-authors. Here we add to the existing fluctuation theory an explicit description of the excursion measure away from the (minimal) right inverse. This description unifies known formulas in the case of a positive Gaussian coefficient and in the bounded variation case. While these known formulas relate to excursions away from a point starting negative continuously, and excursions started by a jump, the present description is in terms of excursions away from the supremum continued up to a return time. In the unbounded variation case with zero Gaussian coefficient previously excluded, excursions start negative continuously, but the excursion measures away from the right inverse and away from a point are mutually singular. We also provide a new construction and a new formula for the Laplace exponent of the minimal right inverse.
MSC:
60G51 Processes with independent increments; Lévy processes
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