On Lamperti stable processes

MaRDI QIDQ3583833zbMATH OpenFDO

Authors J. C. Pardo, M. Emilia Caballero, José Luis Pérez Garmendia

Publication date 18 August 2010

Full work available at URL http://www.math.uni.wroc.pl/~pms/files/30.1/Abstract/30.1.1.abs.pdf

zbMATH Keywords

Lamperti stable distributions and processesLévy processesstable processes

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52)

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Cited in

(36)

• The Lévy Laplacian and stable processes
• Coupling property and gradient estimates of Lévy processes via the symbol
• Fluctuations of stable processes and exponential functionals of hypergeometric Lévy processes
• Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes
• The cutoff phenomenon in total variation for nonlinear Langevin systems with small layered stable noise
• Asian options and meromorphic Lévy processes
• Tightness and convergence of trimmed Lévy processes to normality at small times
• Small-time sharp bounds for kernels of convolution semigroups
• The Lamperti representation of real-valued self-similar Markov processes
• Hitting distributions of \(\alpha\)-stable processes via path censoring and self-similarity
• The Lamperti correspondence extended to Lévy processes and semi-stable Markov processes in locally compact groups
• Schauder estimates for degenerate Lévy Ornstein-Uhlenbeck operators
• Positive self-similar Markov processes obtained by resurrection
• Pricing CoCos with a market trigger
• Deep factorisation of the stable process
• Generalized tempered stable processes
• On exact sampling of nonnegative infinitely divisible random variables
• On the Wiener-Hopf factorization for Lévy processes with bounded positive jumps
• Meromorphic Lévy processes and their fluctuation identities
• Local extinction in continuous-state branching processes with immigration
• scientific article; zbMATH DE number 1409932 (Why is no real title available?)
• Double hypergeometric Lévy processes and self-similarity
• The extended hypergeometric class of Lévy processes
• scientific article; zbMATH DE number 5244132 (Why is no real title available?)
• Continuous-State Branching Processes and Self-Similarity
• On exact sampling of the first passage event of a Lévy process with infinite Lévy measure and bounded variation
• Weak well-posedness for a class of degenerate Lévy-driven SDEs with Hölder continuous coefficients
• Explicit identities for Lévy processes associated to symmetric stable processes
• A Wiener-Hopf Monte Carlo simulation technique for Lévy processes
• The semi-implicit Euler-Maruyama method for nonlinear non-autonomous stochastic differential equations driven by a class of Lévy processes
• A generalization result regarding the small and large scale behavior of infinitely divisible processes
• Quasi-stationary distributions and Yaglom limits of self-similar Markov processes
• The \(\beta\)-Meixner model
• On layered stable processes
• Exact and asymptotic \(n\)-tuple laws at first and last passage
• Lamperti-type laws

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