Discretization of the Lamperti representation of a positive self-similar Markov process
DOI10.1016/j.spa.2021.03.013zbMath1469.60099arXiv2006.09115OpenAlexW3142135650MaRDI QIDQ2029799
Jakob D. Thøstesen, Jevgenijs Ivanovs
Publication date: 4 June 2021
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2006.09115
exponential functionalLamperti representationsmall time behaviorpositive self-similar Markov processstable Lévy process conditioned to stay positive
Processes with independent increments; Lévy processes (60G51) Self-similar stochastic processes (60G18) Functional limit theorems; invariance principles (60F17)
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