Hitting distributions of \(\alpha\)-stable processes via path censoring and self-similarity

DOI10.1214/12-AOP790zbMath1306.60051arXiv1112.3690MaRDI QIDQ2438753

Andreas E. Kyprianou, Alexander R. Watson, Juan Carlos Pardo

Publication date: 6 March 2014

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

Full work available at URL: https://arxiv.org/abs/1112.3690

zbMATH Keywords

Wiener-Hopf factorizationLévy processhitting distributionstable processLamperti transformkilled potential

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Self-similar stochastic processes (60G18) Stable stochastic processes (60G52)

Related Items (23)

Uniform control of local times of spectrally positive stable processes ⋮ Stable windings at the origin ⋮ Deep factorisation of the stable process. II: Potentials and applications ⋮ Unnamed Item ⋮ First passage time moments of asymmetric Lévy flights ⋮ Positive self-similar Markov processes obtained by resurrection ⋮ A growth-fragmentation model connected to the ricocheted stable process ⋮ Harnack inequality and interior regularity for Markov processes with degenerate jump kernels ⋮ Conditioned real self-similar Markov processes ⋮ Censored stable subordinators and fractional derivatives ⋮ Asian options and meromorphic Lévy processes ⋮ Deep factorisation of the stable process III: the view from radial excursion theory and the point of closest reach ⋮ A free boundary characterisation of the root barrier for Markov processes ⋮ On fully mixed and multidimensional extensions of the Caputo and Riemann-Liouville derivatives, related Markov processes and fractional differential equations ⋮ Spectral theory for one-dimensional (non-symmetric) stable processes killed upon hitting the origin ⋮ Stable processes conditioned to hit an interval continuously from the outside ⋮ Double hypergeometric Lévy processes and self-similarity ⋮ Stable Lévy processes in a cone ⋮ The extended hypergeometric class of Lévy processes ⋮ Entrance and exit at infinity for stable jump diffusions ⋮ Unnamed Item ⋮ First passage leapovers of Lévy flights and the proper formulation of absorbing boundary conditions ⋮ On the Harmonic Measure of Stable Processes

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