Some explicit identities associated with positive self-similar Markov processes

DOI10.1016/j.spa.2008.05.001zbMath1170.60017arXiv0708.2383OpenAlexW2123853463MaRDI QIDQ1009677

Juan Carlos Pardo, Andreas E. Kyprianou, Loïc Chaumont

Publication date: 2 April 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0708.2383

zbMATH Keywords

exponential functionalfirst hitting timefirst exit timeLamperti representationpositive self-similar Markov processesconditioned stable Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Self-similar stochastic processes (60G18) Stable stochastic processes (60G52)

Related Items (27)

Fluctuations of Omega-killed spectrally negative Lévy processes ⋮ Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes ⋮ Intrinsic area near the origin for self-similar growth-fragmentations and related random surfaces ⋮ Joint occupation times in an infinite interval for spectrally negative Lévy processes on the last exit time ⋮ Fluctuations of stable processes and exponential functionals of hypergeometric Lévy processes ⋮ On Wiener-Hopf factors for stable processes ⋮ On the Wiener-Hopf factorization for Lévy processes with bounded positive jumps ⋮ Meromorphic Lévy processes and their fluctuation identities ⋮ Hitting distributions of \(\alpha\)-stable processes via path censoring and self-similarity ⋮ Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes ⋮ A note on scale functions and the time value of ruin for Lévy insurance risk processes ⋮ Fluctuation theory and exit systems for positive self-similar Markov processes ⋮ On the distribution of exponential functionals for Lévy processes with jumps of rational transform ⋮ How fast planar maps get swallowed by a peeling process ⋮ Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory ⋮ Exact and asymptotic \(n\)-tuple laws at first and last passage ⋮ A Lévy input model with additional state-dependent services ⋮ A Ciesielski-Taylor type identity for positive self-similar Markov processes ⋮ Wiener-Hopf Factorization for a Family of Lévy Processes Related to Theta Functions ⋮ The upper envelope of positive self-similar Markov Processes ⋮ General tax Structures and the Lévy Insurance Risk Model ⋮ Explicit solutions of the exit problem for a class of Lévy processes; applications to the pricing of double-barrier options ⋮ A transformation for spectrally negative Lévy processes and applications ⋮ The extended hypergeometric class of Lévy processes ⋮ Continuous-State Branching Processes and Self-Similarity ⋮ Exit problems for positive self-similar Markov processes with one-sided jumps ⋮ Unnamed Item

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The law of the supremum of a stable Lévy process with no negative jumps
• Exponential functionals of Lévy processes
• The upper envelope of positive self-similar Markov Processes
• Conditionings and path decompositions for Lévy processes
• On the entire moments of self-similar Markov processes and exponential functionals of Lévy processes
• Upper bound of a volume exponent for directed polymers in a random environment
• Entrance from \(0+\) for increasing semi-stable Markov processes
• The entrance laws of self-similar Markov processes and exponential functionals of Lévy processes
• Overshoots and undershoots of Lévy processes
• Weak convergence of positive self-similar Markov processes and overshoots of Lévy processes
• Introductory lectures on fluctuations of Lévy processes with applications.
• Continuous additive functionals of a Markov process with applications to processes with independent increments
• Recurrent extensions of self-similar Markov processes and Cramér's condition
• Stable processes: Sample function growth at a local minimum
• First passage times of a jump diffusion process
• Financial Modelling with Jump Processes
• The Distribution of the First Hit for Stable and Asymptotically Stable Walks on an Interval
• Semi-stable Markov processes. I
• Conditioned stable Lévy processes and the Lamperti representation
• On Maxima and Ladder Processes for a Dense Class of Lévy Process
• On the Distribution of First Hits for the Symmetric Stable Processes

This page was built for publication: Some explicit identities associated with positive self-similar Markov processes