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.
Type de document :
Pré-publication, Document de travail
2011


https://hal.archives-ouvertes.fr/hal-00639336
Contributeur : Loïc Chaumont <>
Soumis le : mardi 8 novembre 2011 - 17:55:41
Dernière modification le : mardi 8 novembre 2011 - 18:26:30
Document(s) archivé(s) le : jeudi 9 février 2012 - 02:46:44

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  • HAL Id : hal-00639336, version 1

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

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