Further examples of explicit Krein representations of certain subordinators

DOI10.2977/PRIMS/1201011784MaRDI QIDQ2459929zbMATH OpenOpenAlexFDO

Authors Marc Yor, Catherine Donati-Martin

Publication date 9 November 2007

Published in Publications of the Research Institute for Mathematical Sciences, Kyoto University (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0509041

zbMATH Keywords

Krein problemlocal timeLévy measuresubordinator

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Local time and additive functionals (60J55)

Abstract: In a previous paper, we have shown that the gamma subordinators may be represented as inverse local times of certain diffusions. In the present paper, we give such representations for other subordinators whose L'evy densities are of the form $fracmathcalC(sinh(y){)}^{g}amma$, $0<gamma<2$, and the more general family obtained from those by exponential tilting.

Review text

In this paper the authors continue the investigation of the Krein problem, started in [\textit{C. Donati-Martin} and \textit{M. Yor}, Publ. Res. Inst. Math. Sci. 42, 879--895 (2006; Zbl 1123.60028)]. Let \((S_l\), \(l\geq 0)\) be a subordinator with the Lévy measure \(\nu(dy)\). It is known that there exists a unique diffusion \(X_t\) with values in \(\mathbb{R}_+\) whose inverse local time \((\tau_l\), \(l\geq 0)\) at 0 has the same distribution as \((S_l\), \(l\geq 0)\). Finding the diffusion \(X_t\) when \(\nu(dy)\) is given is called by the authors the Krein problem. In the current paper this problem is solved for the class of Lévy measures \[ \nu_{\mu, \alpha, k} (dy) =C \left( \frac{\mu}{\sinh(\mu y)}\right)^{\alpha+1} \exp(\mu k y) \,dy. \] Namely, the explicit expression for the infinitesimal generator related to the diffusion process is found. The remarkable property of the obtained diffusion is that it can be obtained from the diffusion constructed in [loc. cit.], and vice versa.

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Cited in

(5)

• On the Mellin transforms of the perpetuity and the remainder variables associated to a subordinator
• Lévy measure density corresponding to inverse local time
• Local extinction in continuous-state branching processes with immigration
• Continuous-State Branching Processes and Self-Similarity
• Some explicit Krein representations of certain subordinators, including the gamma process

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