Fluctuation theory for spectrally positive additive L\'evy fields

TL;DR

This paper develops a fluctuation theory for spectrally positive additive Lévy fields, analyzing their first passage times and deriving related functional equations and distributional formulas, extending classical fluctuation identities to higher dimensions.

Contribution

It introduces a multidimensional fluctuation theory for spectrally positive additive Lévy fields, including laws of first passage times and functional equations generalizing ladder process identities.

Findings

The law of first passage times has stationary and independent increments.

The Laplace exponent of the first passage time process solves a higher-dimensional functional equation.

Distribution of first passage times is expressed via a Kemperman-type formula.

Abstract

A spectrally positive additive L\'evy field is a multidimensional field obtained as the sum $\mathbf{X}_{\rm t}={\rm X}^{(1)}_{t_1}+{\rm X}^{(2)}_{t_2}+\dots+{\rm X}^{(d)}_{t_d}$, ${\rm t}=(t_1,\dots,t_d)\in\mathbb{R}_+^d$, where ${\rm X}^{(j)}={}^t (X^{1,j},\dots,X^{d,j})$, $j=1,\dots,d$, are $d$ independent $\mathbb{R}^d$-valued L\'evy processes issued from 0, such that $X^{i,j}$ is non decreasing for $i\neq j$ and $X^{j,j}$ is spectrally positive. It can also be expressed as $\mathbf{X}_{\rm t}=\mathbb{X}_{\rm t}{\bf 1}$, where ${\bf 1}={}^t(1,1,\dots,1)$ and $\mathbb{X}_{\rm t}=(X^{i,j}_{t_j})_{1\leq i,j\leq d}$. The main interest of spaLf's lies in the Lamperti representation of multitype continuous state branching processes. In this work, we study the law of the first passage times $\mathbf{T}_{\rm r}$ of such fields at levels $-{\rm r}$, where ${\rm r}\in\mathbb{R}_+^d$. We prove that the field $\{(\mathbf{T}_{\rm r},\mathbb{X}_{\mathbf{T}_{\rm r}}),{\rm r}\in\mathbb{R}_+^d\}$ has stationary and independent increments and we describe its law in terms of this of the spaLf $\mathbf{X}$. In particular, the Laplace exponent of $(\mathbf{T}_{\rm r},\mathbb{X}_{\mathbf{T}_{\rm r}})$ solves a functional equation leaded by the Laplace exponent of $\mathbf{X}$. This equation extends in higher dimension a classical fluctuation identity satisfied by the Laplace exponents of the ladder processes. Then we give an expression of the distribution of $\{(\mathbf{T}_{\rm r},\mathbb{X}_{\mathbf{T}_{\rm r}}),{\rm r}\in\mathbb{R}_+^d\}$ in terms of the distribution of $\{\mathbb{X}_{\rm t},{\rm t}\in\mathbb{R}_+^d\}$ by the means of a Kemperman-type formula, well-known for spectrally positive L\'evy processes.