Real self-similar processes started from the origin

DOI10.1214/16-AOP1105zbMATH Open1372.60052arXiv1501.00647OpenAlexW2963650552MaRDI QIDQ2012255FDOQ2012255

Steffen Dereich, A. E. Kyprianou, Leif Döring

Publication date: 28 July 2017

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: Since the seminal work of Lamperti there is a lot of interest in the understanding of the general structure of self-similar Markov processes. Lamperti gave a representation of positive self-similar Markov processes with initial condition strictly larger than 0 which subsequently was extended to zero initial condition. For real self-similar Markov processes (rssMps) there is a generalization of Lamperti's representation giving a one-to-one correspondence between Markov additive processes and rssMps with initial condition different from the origin. We develop fluctuation theory for Markov additive processes and use Kuznetsov measures to construct the law of transient real self-similar Markov processes issued from the origin. The construction gives a pathwise representation through two-sided Markov additive processes extending the Lamperti-Kiu representation to the origin.

Full work available at URL: https://arxiv.org/abs/1501.00647

zbMATH Keywords

fluctuation theoryMarkov additive processesself-similar processes

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Self-similar stochastic processes (60G18)

Cited In (24)

• Stability of overshoots of Markov additive processes
• Stable Lévy processes in a cone
• Deep factorisation of the stable process. II: Potentials and applications
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• On the carrying dimension of occupation measures for self-affine random fields
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• Entrance laws at the origin of self-similar Markov processes in high dimensions
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• Self-similar signed growth-fragmentations
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• Kac-Ornstein-Uhlenbeck processes: stationary distributions and exponential functionals
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• Ruin probabilities for risk process in a regime-switching environment
• Double hypergeometric Lévy processes and self-similarity
• Entrance and exit at infinity for stable jump diffusions
• Stable processes conditioned to avoid an interval
• A factorization of a Lévy process over a phase-type horizon
• Stable windings at the origin
• Conditioned real self-similar Markov processes

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