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.
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https://hal.archives-ouvertes.fr/hal-00706818
Contributor : Leif Doering <>
Submitted on : Monday, June 11, 2012 - 3:54:09 PM
Last modification on : Sunday, March 31, 2019 - 1:22:34 AM

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

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Matyas Barczy, Leif Doering. On entire moments of self-similar Markov processes. 2012. ⟨hal-00706818⟩

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