A Characterization of the Finiteness of Perpetual Integrals of Levy Processes

Abstract

We derive a criterium for the almost sure finiteness of perpetual integrals of \LL processes for a class of real functions including all continuous functions and for general one-dimensional L\'evy processes that drifts to plus infinity. This generalizes previous work of D\"oring and Kyprianou, who considered L\'evy processes having a local time, leaving the general case as an open problem. It turns out, that the criterium in the general situation simplifies significantly in the situation, where the process has a local time, but we also demonstrate that in general our criterium can not be reduced. This answers an open problem posed in \cite{doring}.