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

DOI10.37190/0208-4147.41.1.3zbMATH Open1483.31017arXiv1610.00358OpenAlexW3182019790MaRDI QIDQ5013231FDOQ5013231

Authors: Zbigniew Palmowski, Longmin Wang 

Publication date: 29 November 2021

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

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.

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

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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)

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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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