A Jump Type SDE Approach to Positive Self-Similar Markov Processes

Abstract : We present a new approach to positive self-similar Markov processes (pssMps) by reformulating Lamperti's transformation via jump type SDEs. As applications, we give direct constructions of pssMps (re)started continuously at zero if the Lamperti transformed Levy process is spectrally negative. Our paper can be seen as a continuation of similar studies for continuous state branching processes but the approach seems to be more fruitful in the context of pssMps.
Type de document :
Pré-publication, Document de travail
38 pages. 2011
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https://hal.archives-ouvertes.fr/hal-00706811
Contributeur : Leif Doering <>
Soumis le : lundi 11 juin 2012 - 15:52:41
Dernière modification le : mardi 11 octobre 2016 - 13:48:13

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  • HAL Id : hal-00706811, version 1
  • ARXIV : 1111.3235

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UPMC | INSMI | PMA | USPC

Citation

Leif Doering, Matyas Barczy. A Jump Type SDE Approach to Positive Self-Similar Markov Processes. 38 pages. 2011. <hal-00706811>

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