Functional limit theorems for Lévy processes satisfying Cramér's condition

Abstract

We consider a Lévy process that starts from $x<0$ and conditioned on having a positive maximum. When Cramér's condition holds, we provide two weak limit theorems as $x\to -\infty$ for the law of the (two-sided) path shifted at the first instant when it enters $(0,\infty )$, respectively shifted at the instant when its overall maximum is reached. The comparison of these two asymptotic results yields some interesting identities related to time-reversal, insurance risk, and self-similar Markov processes.