The time at which a Lévy process creeps

Abstract

We show that if a Lévy process creeps then, as a function of $u$, the renewal function $V(t,u)$ of the bivariate ascending ladder process $(L^{-1},H)$ is absolutely continuous on $[0,\infty )$ and left differentiable on $(0,\infty )$, and the left derivative at $u$ is proportional to the (improper) distribution function of the time at which the process creeps over level $u$, where the constant of proportionality is $\rmd_H^{-1}$, the reciprocal of the (positive) drift of $H$. This yields the (missing) term due to creeping in the recent quintuple law of Doney and Kyprianou (2006). As an application, we derive a Laplace transform identity which generalises the second factorization identity. We also relate Doney and Kyprianou's extension of Vigon's équation amicale inversée to creeping. Some results concerning the ladder process of $X$, including the second factorization identity, continue to hold for a general bivariate subordinator, and are given in this generality.

Cited by in corpus (2)

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