A Tanaka-Type Formula for Compact Sets and Equilibrium Measures of L\'{e}vy Processes

Mathematics > Probability [Submitted on 16 Jun 2026] Title:A Tanaka-Type Formula for Compact Sets and Equilibrium Measures of Lévy Processes View PDF HTML (experimental)Abstract:Tanaka's formula is a classical identity for Brownian motion, and Tsukada (2018) extended it to Lévy processes not necessarily symmetric. From a potential-theoretic point of view, this formula shows that the invariant function for the process killed upon hitting a singleton can be decomposed into the sum of a martingale part and a local time. In this paper, we generalize this singleton setting and derive a Tanaka-type formula for a compact set $B$. To this end, we introduce the equilibrium measure, defined as the rescaled limit of the $q$-capacity measures, and show that the invariant function for the process killed upon hitting $B$ can be represented as the integral, with respect to the equilibrium measure, of the invariant functions associated with processes killed upon hitting singletons, up to an additive constant called the Robin constant. Moreover, when $B$ is an interval, we obtain explicit representations of the equilibrium measure, the Robin constant, and the martingale part for recurrent stable processes as well as for recurrent spectrally negative Lévy processes. Finally, we discuss how an analogous Tanaka-type formula can also be established for transient Lévy processes. References & Citations Loading... Bibliographic and Citation Tools Bibliographic Explorer (What is the Explorer?) Connected Papers (What is Connected Papers?) Litmaps (What is Litmaps?) scite Smart Citations (What are Smart Citations?) Code, Data and Media Associated with this Article alphaXiv (What is alphaXiv?) CatalyzeX Code Finder for Papers (What is CatalyzeX?) DagsHub (What is DagsHub?) Gotit.pub (What is GotitPub?) Hugging Face (What is Huggingface?) ScienceCast (What is ScienceCast?) Demos Recommenders and Search Tools Influence Flower (What are Influence Flowers?) CORE Recommender (What is CORE?) arXivLabs: experimental projects with community collaborators arXivLabs is a framework that allows collaborators to develop and share new arXiv features directly on our website. Both individuals and organizations that work with arXivLabs have embraced and accepted our values of openness, community, excellence, and user data privacy. arXiv is committed to these values and only works with partners that adhere to them. Have an idea for a project that will add value for arXiv's community? Learn more about arXivLabs.