On entire moments of self-similar Markov processes
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Abstract: It has been shown by Bertoin and Yor (2002) that the law of positive self-similar Markov processes (pssMps) that only jump downwards and do not hit zero in finite time are uniquely determined by their entire moments for which explicit formulas have been derived. We use a recent jump-type stochastic differential equation approach to reprove and to extend their formulas.
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Cited in
(17)- On the entire moments of self-similar Markov processes and exponential functionals of Lévy processes
- On subordinators, self-similar Markov processes and some factorizations of the exponential variable
- General self-similarity properties for Markov processes and exponential functionals of Lévy processes
- \(\alpha\) -self-similar Markov processes
- Intertwining, excursion theory and Krein theory of strings for non-self-adjoint Markov semigroups
- Recurrent extensions of self-similar Markov processes and Cramér's condition
- A jump-type SDE approach to real-valued self-similar Markov processes
- scientific article; zbMATH DE number 5926615 (Why is no real title available?)
- Remark on logically constant self-similar processes
- Jump type SDEs for self-similar processes
- Entrance laws at the origin of self-similar Markov processes in high dimensions
- A temporal factorization at the maximum for certain positive self-similar Markov processes
- Moments of passage times and asymptotic behavior of increasing self-similar Markov processes
- On the future infimum of positive self-similar Markov processes
- Isotropic self-similar Markov processes
- On the passage times of self-similar Gaussian processes on curved boundaries
- Spectral decomposition of fractional operators and a reflected stable semigroup
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