Real self-similar processes started from the origin

DOI10.1214/16-AOP1105MaRDI QIDQ2012255zbMATH OpenOpenAlexFDO

Authors Leif Döring, A. E. Kyprianou, Steffen Dereich

Publication date 28 July 2017

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

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)

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.

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Cited in

(28)

• Stable Lévy processes, self-similarity and the unit ball
• Multi-self-similar Markov processes on \(\mathbb R_+^n\) and their Lamperti representations
• Stability of overshoots of Markov additive processes
• Stable Lévy processes in a cone
• Deep factorisation of the stable process. II: Potentials and applications
• The Lamperti representation of real-valued self-similar Markov processes
• On moments of integrals with respect to Markov additive processes and of Markov modulated generalized Ornstein-Uhlenbeck processes
• Discretization of the Lamperti representation of a positive self-similar Markov process
• Recurrent extensions of real-valued self-similar Markov processes
• On the carrying dimension of occupation measures for self-affine random fields
• Exponential functionals of Markov additive processes
• Entrance laws at the origin of self-similar Markov processes in high dimensions
• Self-similar signed growth-fragmentations
• Markov-modulated generalized Ornstein-Uhlenbeck processes and an application in risk theory
• Kac-Ornstein-Uhlenbeck processes: stationary distributions and exponential functionals
• On \(\mathbb{R}^d\)-valued multi-self-similar Markov processes
• An optimal stopping problem for spectrally negative Markov additive processes
• Asymptotics of the frequency spectrum for general Dirichlet \(\Xi\)-coalescents
• Williams' path decomposition for self-similar Markov processes in \(\mathbb{R}^d\)
• Multitype self-similar growth-fragmentation processes
• Markov additive friendships
• 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
• Stable windings at the origin
• A factorization of a Lévy process over a phase-type horizon
• Conditioned real self-similar Markov processes

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