On entire moments of self-similar Markov processes

Abstract : It has been shown by Bertoin and Yor (2002) that the law of positive self-similar Markov processes (pssMps) that only jump downwards and do not hit zero in finite time are uniquely determined by their entire moments for which explicit formulas have been derived. We use a recent jump-type stochastic differential equation approach to reprove and to extend their formulas.
Type de document :
Pré-publication, Document de travail
7 pages. 2012
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https://hal.archives-ouvertes.fr/hal-00706818
Contributeur : Leif Doering <>
Soumis le : lundi 11 juin 2012 - 15:54:09
Dernière modification le : lundi 29 mai 2017 - 14:26:57

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  • HAL Id : hal-00706818, version 1
  • ARXIV : 1203.4332

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UPMC | INSMI | PMA | USPC

Citation

Matyas Barczy, Leif Doering. On entire moments of self-similar Markov processes. 7 pages. 2012. 〈hal-00706818〉

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