Two continua of embedded regenerative sets

Abstract

Given a two-sided real-valued Lévy process $(X_t)_{t \in \mathbb{R}}$, define processes $(L_t)_{t \in \mathbb{R}}$ and $(M_t)_{t \in \mathbb{R}}$ by $L_t := \sup\{h \in \mathbb{R} : h - α(t-s) \le X_s \text{ for all } s \le t\} = \inf\{X_s + α(t-s) : s \le t\}$, $t \in \mathbb{R}$, and $M_t := \sup \{ h \in \mathbb{R} : h - α|t-s| \leq X_s \text{ for all } s \in \mathbb{R} \} = \inf \{X_s + α|t-s| : s \in \mathbb{R}\}$, $t \in \mathbb{R}$. The corresponding contact sets are the random sets $\mathcal{H}_α:= \{ t \in \mathbb{R} : X_{t}\wedge X_{t-} = L_t\}$ and $\mathcal{Z}_α:= \{ t \in \mathbb{R} : X_{t}\wedge X_{t-} = M_t\}$. For a fixed $α>\mathbb{E}[X_1]$ (resp. $α>|\mathbb{E}[X_1]|$) the set $\mathcal{H}_α$ (resp. $\mathcal{Z}_α$) is non-empty, closed, unbounded above and below, stationary, and regenerative. The collections $(\mathcal{H}_α)_{α> \mathbb{E}[X_1]}$ and $(\mathcal{Z}_α)_{α> |\mathbb{E}[X_1]|}$ are increasing in $α$ and the regeneration property is compatible with these inclusions in that each family is a continuum of embedded regenerative sets in the sense of Bertoin. We show that $(\sup\{t < 0 : t \in \mathcal{H}_α\})_{α> \mathbb{E}[X_1]}$ is a càdlàg, nondecreasing, pure jump process with independent increments and determine the intensity measure of the associated Poisson process of jumps. We obtain a similar result for $(\sup\{t < 0 : t \in \mathcal{Z}_α\})_{α> |β|}$ when $(X_t)_{t \in \mathbb{R}}$ is a (two-sided) Brownian motion with drift $β$.