On the exact asymptotics of exit time from a cone of an isotropic -self-similar Markov process with a skew-product structure

DOI10.37190/0208-4147.41.1.3MaRDI QIDQ5013231zbMATH OpenOpenAlexFDO

Authors Zbigniew Palmowski, Longmin Wang

Publication date 29 November 2021

Published in Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1610.00358

zbMATH Keywords

Brownian motionexit time\(\alpha\)-self-similar process

Mathematics Subject Classification ID

Harmonic, subharmonic, superharmonic functions in higher dimensions (31B05) Probabilistic potential theory (60J45)

Abstract: In this paper we identify the asymptotic tail of the distribution of the exit time $a{u}_C$ from a cone $C$ of an isotropic $alpha$-self-similar Markov process $X_t$ with a skew-product structure, that is $X_t$ is a product of its radial process and independent time changed angular component $Thet{a}_t$. Under some additional regularity assumptions, the angular process $Thet{a}_t$ killed on exiting from the cone $C$ has the transition density that could be expressed in terms of a complete set of orthogonal eigenfunctions with corresponding eigenvalues of an appropriate generator. Using this fact and some asymptotic properties of the exponential functional of a killed L'evy process related with Lamperti representation of the radial process, we prove that ${\displaystyle }$mathbb{P}_x( au_C>t)sim h(x)t^{-kappa_1}${\displaystyle }$ as $tightarrowinfty$ for $h$ and $kapp{a}_1$ identified explicitly. The result extends the work of DeBlassie (1988) and Ba~nuelos and Smits (1997) concerning the Brownian motion.

Recommendations

• \(\alpha\) -self-similar Markov processes
• Isotropic self-similar Markov processes
• Exit times from cones in R^n of symmetric stable processes
• Stable Lévy processes in a cone
• Symmetric stable processes in cones

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Cited in

(2)

• Yaglom limit for stable processes in cones
• Exit times from cones in R^n of symmetric stable processes

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