Recurrent extensions of real-valued self-similar Markov processes

DOI10.1007/S11118-019-09791-XMaRDI QIDQ2196591zbMATH OpenOpenAlexFDO

Authors H. Pantí, Víctor Manuel Rivero, J. C. Pardo

Publication date 3 September 2020

Published in Potential Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1808.00129

zbMATH Keywords

exponential functionalLamperti-Kiu representationMarkov additive processesreal self-similar Markov processesstable processes

Mathematics Subject Classification ID

Self-similar stochastic processes (60G18) Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25)

Abstract: Let $X=(X_t,tgeq0)$ be a self-similar Markov process taking values in $mathbbR$ such that the state 0 is a trap. In this paper, we present a necessary and sufficient condition for the existence of a self-similar recurrent extension of $X$ that leaves 0 continuously. The condition is expressed in terms of the associated Markov additive process via the Lamperti-Kiu representation. Our results extend those of Fitzsimmons (2006) and Rivero (2005, 2007) where the existence and uniqueness of a recurrent extension for positive self similar Markov processes were treated. In particular, we describe the recurrent extension of a stable L'evy process which to the best of our knowledge has not been studied before.

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Cited in

(11)

• Itô excursion theory for self-similar Markov processes
• On recurrence for self-similar additive processes
• Conditioned real self-similar Markov processes
• On \(\mathbb{R}^d\)-valued multi-self-similar Markov processes
• The Lamperti representation of real-valued self-similar Markov processes
• Recurrent extensions of self-similar Markov processes and Cramér's condition. II
• Recurrent extensions of self-similar Markov processes and Cramér's condition
• Positive self-similar Markov processes obtained by resurrection
• The fractional Laplacian with reflections
• Coalescing property of an interface SDE with correlated noises
• On the existence of recurrent extensions of self-similar Markov processes

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