A temporal factorization at the maximum for certain positive self-similar Markov processes

DOI10.1017/jpr.2020.62zbMath1457.60058arXiv1805.04036OpenAlexW3107483573MaRDI QIDQ5139917

Matija Vidmar

Publication date: 11 December 2020

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

Full work available at URL: https://arxiv.org/abs/1805.04036

zbMATH Keywords

martingalesWiener-Hopf factorizationtime-changesspectrally negative Lévy processespositive self-similar Markov processessplitting at the maximum

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Martingales with continuous parameter (60G44) Self-similar stochastic processes (60G18)

Related Items (3)

Some harmonic functions for killed Markov branching processes with immigration and culling ⋮ Exit problems for positive self-similar Markov processes with one-sided jumps ⋮ Complete monotonicity of time-changed Lévy processes at first passage

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