Potentials of stable processes

DOI10.1007/978-3-319-11970-0_12MaRDI QIDQ4568491zbMATH OpenOpenAlexFDO

Authors A. E. Kyprianou, Alexander R. Watson

Publication date 21 June 2018

Published in Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1312.1222

zbMATH Keywords

hitting timesLamperti representationLévy processespositive self-similar Markov processespotential measuresreflected stable processesresolvent measuresstable processes

Mathematics Subject Classification ID

Self-similar stochastic processes (60G18) Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52) Probabilistic potential theory (60J45)

Abstract: For a stable process, we give an explicit formula for the potential measure of the process killed outside a bounded interval and the joint law of the overshoot, undershoot and undershoot from the maximum at exit from a bounded interval. We obtain the equivalent quantities for a stable process reflected in its infimum. The results are obtained by exploiting a simple connection with the Lamperti representation and exit problems of stable processes.

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Cites work

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Cited in

(7)

• Deep factorisation of the stable process. II: Potentials and applications
• A free boundary characterisation of the root barrier for Markov processes
• On a formula on the potential operators of absorbing Lévy processes in the half space
• First passage of reflected strictly stable processes
• Stable Lévy processes, self-similarity and the unit ball
• On the solution of two-sided fractional ordinary differential equations of Caputo type
• On the Harmonic Measure of Stable Processes

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