Further examples of explicit Krein representations of certain subordinators

Catherine Donati-Martin (1) , Marc Yor (1)

1 LPMA - Laboratoire de Probabilités et Modèles Aléatoires

In a previous paper , we have shown that the gamma subordinators may be represented as inverse local times of certain diffusions. In the present paper, we give such representations for other subordinators whose Lévy densities are of the form $ \frac{\mathcal{C}}{(\sinh(y))^\gamma}$, $0 < \gamma < 2$, and the more general family obtained from those by exponential tilting.

Mots clés: subordinators; Krein correspondence; inverse local time

Domaines: Probabilités [math.PR]

Catherine Donati-Martin, Marc Yor. Further examples of explicit Krein representations of certain subordinators. 2005. ⟨hal-00008369⟩