Last exit times for transient semistable processes (Q2567146)

Let \(L_{B_a}\) be the last exit time from the ball \(B_a=\{| x| < a \}\) for a nondegenerate transient \(\alpha\)-semistable process \(\{X_t\}\) on \({\mathbb R}^d\). The problem to determine the set \({\mathcal T}\) defined by \({\mathcal T}=\{0\} \cup \{\eta > 0 : E[L^{\eta}_{B_a}] < \infty\}\) is studied. The process \(\{X_t\}\) is called first-class or second-class according as it is strictly \(\alpha\)-semistable or not. A unique location parameter \(\tau \in {\mathbb R}^d\) is introduced in connection to the space-time relation of \(\{X_t\}\), \(\tau=0\), if and only if \(\{X_t\}\) is first-class; \(\tau\) is the drift if \(0 < \alpha < 1\) and the center if \(1 < \alpha \leq 2\). The set \({\mathcal T}\) is determined in the case \(d=1\) and in the following cases with \(d \geq 2\): (i) \(0 < \alpha < 1\); (ii) \(1 \leq \alpha \leq 2\) and \(\tau = 0\); (iii) \(1 \leq \alpha < 2\), \(\tau \neq 0\), and \(\sigma(\{\tau/| \tau| \}) > 0\); (iv) \(1 \leq \alpha < 2\), \(\tau \neq 0\), and \(-\tau/| \tau| \notin C_{\sigma}\). Here \(\sigma\) is the spherical component of the Lévy measure, and \(C_{\sigma}\) is a set defined by the support of \(\sigma\). Weak transience and strong transience correspond to \(1 \notin {\mathcal T}\) and \(1 \in {\mathcal T}\), respectively, and they are completely classified in terms of \(d\), \(\alpha\), \(\tau\), and another parameter \(\beta\). Applications to the Spitzer type limit theorems involving capacity are given.