Attraction to and repulsion from a subset of the unit sphere for isotropic stable Lévy processes

DOI10.1016/J.SPA.2021.04.004MaRDI QIDQ2029804zbMATH OpenOpenAlexFDO

Authors A. E. Kyprianou, Sandra Palau, Tsogzolmaa Saizmaa

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/1911.05867

zbMATH Keywords

dualityradial excursionstable processtime reversal

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52) Continuous-time Markov processes on general state spaces (60J25)

Abstract: Taking account of recent developments in the representation of $d$-dimensional isotropic stable L'evy processes as self-similar Markov processes, we consider a number of new ways to condition its path. Suppose that $Omega$ is a region of the unit sphere $mathbb{S}^{d-1}=xinmathbb{R}^d:|x|=1$. We construct the aforesaid stable L'evy process conditioned to approach $mathsfS$ continuously from either inside or outside of the sphere. Additionally, we show that %this these processes are in duality with the stable process conditioned to remain inside the sphere and absorb continuously at the origin and to remain outside of the sphere, respectively. Our results extend the recent contributions of D"oring and Weissman (2018),, where similar conditioning is considered, albeit in one dimension. As is the case there, we appeal to recent fluctuation identities related to the deep factorisation of stable processes.

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Cited in

(5)

• The Doob-McKean identity for stable Lévy processes
• Oscillatory attraction and repulsion from a subset of the unit sphere or hyperplane for isotropic stable Lévy processes
• Stable Lévy processes, self-similarity and the unit ball
• Williams' path decomposition for self-similar Markov processes in \(\mathbb{R}^d\)
• -stable Lévy processes entering the half space or a slab

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