Some applications of duality for Lévy processes in a half-line

Jean Bertoin, Mladen Savov

Published 2009-12-01Version 1

The central result of this paper is an analytic duality relation for real-valued L\'evy processes killed upon exiting a half-line. By Nagasawa's theorem, this yields a remarkable time-reversal identity involving the L\'evy process conditioned to stay positive. As examples of applications, we construct a version of the L\'evy process indexed by the entire real line and started from $-\infty$ which enjoys a natural spatial-stationarity property, and point out that the latter leads to a natural Lamperti-type representation for self-similar Markov processes in $(0,\infty)$ started from the entrance point 0+.