Exponential decay and ergodicity of completely asymmetric Lévy processes in a finite interval

Jean Bertoin

The Annals of Applied Probability · 1997 · 156 citations · 10 references

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Abstract

Consider a completely asymmetric Lévy process which has absolutely continuous transition probabilities. We determine the exponential decay parameter $\rho$ and the quasistationary distribution for the transition probabilities of the Lévy process killed as it exits from a finite interval, prove that the killed process is $\rho$-positive and specify the $\rho$-invariant function and measure.

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