Further examples of explicit Krein representations of certain subordinators (Q2459929): Difference between revisions

In this paper the authors continue the investigation of the Krein problem, started in [\textit{C. Donati-Martin} and \textit{M. Yor}, Publ. Res. Inst. Math. Sci. 42, 879--895 (2006; Zbl 1123.60028)]. Let \((S_l\), \(l\geq 0)\) be a subordinator with the Lévy measure \(\nu(dy)\). It is known that there exists a unique diffusion \(X_t\) with values in \(\mathbb{R}_+\) whose inverse local time \((\tau_l\), \(l\geq 0)\) at 0 has the same distribution as \((S_l\), \(l\geq 0)\). Finding the diffusion \(X_t\) when \(\nu(dy)\) is given is called by the authors the Krein problem. In the current paper this problem is solved for the class of Lévy measures \[ \nu_{\mu, \alpha, k} (dy) =C \left( \frac{\mu}{\sinh(\mu y)}\right)^{\alpha+1} \exp(\mu k y) \,dy. \] Namely, the explicit expression for the infinitesimal generator related to the diffusion process is found. The remarkable property of the obtained diffusion is that it can be obtained from the diffusion constructed in [loc. cit.], and vice versa.