Deep factorisation of the stable process

DOI10.1214/16-EJP4506zbMATH Open1338.60130arXiv1502.07399MaRDI QIDQ287722FDOQ287722

Authors: A. E. Kyprianou 

Publication date: 23 May 2016

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: The Lamperti--Kiu transformation for real-valued self-similar Markov processes (rssMp) states that, associated to each rssMp via a space-time transformation, there is a Markov additive process (MAP). In the case that the rssMp is taken to be an $alpha$-stable process with $alphain(0,2)$, Chaumont et al. (2013) and Kuznetsov et al. (2014) have computed explicitly the characteristics of the matrix exponent of the semi-group of the embedded MAP, which we henceforth refer to as the {it Lamperti-stable MAP}. Specifically, the matrix exponent of the Lamperti-stable MAP's transition semi-group can be written in a compact form using only gamma functions. Just as with L'evy processes, there exists a factorisation of the (matrix) exponents of MAPs, with each of the two factors uniquely characterising the ascending and descending ladder processes, which themselves are again MAPs. To the author's knowledge, not a single example of such a factorisation currently exists in the literature. In this article we provide a completely explicit Wiener--Hopf factorisation for the Lamperti-stable MAP. As a consequence of our methodology, we also get additional new results concerning space-time invariance properties of stable processes. Accordingly we develop some new fluctuation identities therewith.

Full work available at URL: https://arxiv.org/abs/1502.07399

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zbMATH Keywords

Markov additive processesself-similar processesstable processWiener-Hopf factorisation

Mathematics Subject Classification ID

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

Cited In (18)

• Stability of overshoots of Markov additive processes
• Stable Lévy processes in a cone
• Lévy processes with finite variance conditioned to avoid an interval
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• Entrance laws at the origin of self-similar Markov processes in high dimensions
• Fluctuation theory for Lévy processes with completely monotone jumps
• Deep factorisation of the stable process III: the view from radial excursion theory and the point of closest reach
• Stable processes conditioned to hit an interval continuously from the outside
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• Optimal stopping of the stable process with state-dependent killing
• Double hypergeometric Lévy processes and self-similarity
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