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The Lamperti representation of real-valued self-similar Markov processes

Abstract : In this paper we obtain a Lamperti type representation for real-valued self-similar Markov processes, killed at their hitting time of zero. Namely, we represent real-valued self-similar Markov processes as time changed multiplicative invariant processes. Doing so, we complete Kiu's work \cite{Kiu80}, following some ideas in \cite{Chybiryakov} in order to characterize the underlying processes in this representation. We provide some examples where the characteristics of the underlying processes can be computed explicitly.
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Preprints, Working Papers, ...
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Contributor : Loïc Chaumont Connect in order to contact the contributor
Submitted on : Tuesday, November 8, 2011 - 5:55:41 PM
Last modification on : Wednesday, October 20, 2021 - 3:18:45 AM
Long-term archiving on: : Thursday, February 9, 2012 - 2:46:44 AM


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  • HAL Id : hal-00639336, version 1



Loïc Chaumont, Henry Pantí, Víctor Manuel Rivero. The Lamperti representation of real-valued self-similar Markov processes. 2011. ⟨hal-00639336⟩



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