The area of a self-similar fragmentation

Abstract : We consider the area $A=\int_0^{\infty}\left(\sum_{i=1}^{\infty} X_i(t)\right) \d t$ of a self-similar fragmentation process $\X=(\X(t), t\geq 0)$ with negative index. We characterize the law of $A$ by an integro-differential equation. The latter may be viewed as the infinitesimal version of a recursive distribution equation that arises naturally in this setting. In the case of binary splitting, this yields a recursive formula for the entire moments of $A$ which generalizes known results for the area of the Brownian excursion.
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Preprints, Working Papers, ...
2011
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Submitted on : Thursday, January 20, 2011 - 7:03:15 AM
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  • HAL Id : hal-00557785, version 1
  • ARXIV : 1101.3965

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Jean Bertoin. The area of a self-similar fragmentation. 2011. <hal-00557785>

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