Deep factorisation of the stable process. II: Potentials and applications
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Abstract: Here we propose a different perspective of the deep factorisation in Kyprianou (2015) based on determining potentials. Indeed, we factorise the inverse of the MAP-exponent associated to a stable process via the Lamperti-Kiu transform. Here our factorisation is completely independent from the derivation in Kyprianou (2015) , moreover there is no clear way to invert the factors in Kyprianou (2015) to derive our results. Our method gives direct access to the potential densities of the ascending and descending ladder MAP of the Lamperti-stable MAP in closed form. In the spirit of the interplay between the classical Wiener-Hopf factorisation and fluctuation theory of the underlying Levy process, our analysis will produce a collection of of new results for stable processes. We give an identity for the point of closest reach to the origin for a stable process with index as well as and identity for the point of furthest reach before absorption at the origin for a stable process with index . Moreover, we show how the deep factorisation allows us to compute explicitly the stationary distribution of stable processes multiplicatively reflected in such a way that it remains in the strip [-1,1].
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Cited in
(12)- Deep factorisation of the stable process III: the view from radial excursion theory and the point of closest reach
- Stable Lévy processes in a cone
- Stable processes conditioned to avoid an interval
- Stable processes conditioned to hit an interval continuously from the outside
- Lévy processes with finite variance conditioned to avoid an interval
- Fluctuation theory for Lévy processes with completely monotone jumps
- Deep factorisation of the stable process
- Stable Lévy processes, self-similarity and the unit ball
- Markov additive friendships
- Optimal stopping of the stable process with state-dependent killing
- Different versions of ILU and IUL factorizations obtained from forward and backward factored approximate inverse processes. I
- -stable Lévy processes entering the half space or a slab
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