A Characterization of the Finiteness of Perpetual Integrals of Levy Processes

11 Oct 2019 Kolb Martin Savov Mladen

We derive a criterium for the almost sure finiteness of perpetual integrals of \LL processes for a class of real functions including all continuous functions and for general one-dimensional L\'evy processes that drifts to plus infinity. This generalizes previous work of D\"oring and Kyprianou, who considered L\'evy processes having a local time, leaving the general case as an open problem... (read more)

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