On the future infimum of positive self-similar Markov processes

DOI10.1080/17442500600739055zbMATH Open1100.60018arXivmath/0604110OpenAlexW2124843215MaRDI QIDQ5485919FDOQ5485919

Authors: J. C. Pardo 

Publication date: 4 September 2006

Published in: Stochastics (Search for Journal in Brave)

Abstract: We establish integral tests and laws of the iterated logarithm for the upper envelope of the future infimum of positive self-similar Markov processes and for increasing self-similar Markov processes at 0 and infinity. Our proofs are based on the Lamperti representation and time reversal arguments due to Chaumont and Pardo [9]. These results extend laws of the iterated logarithm for the future infimum of Bessel processes due to Khoshnevisan et al. [11].

Full work available at URL: https://arxiv.org/abs/math/0604110

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zbMATH Keywords

law of the iterated logarithmintegral testLamperti representationfuture infimum processLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Strong limit theorems (60F15) Sample path properties (60G17) Self-similar stochastic processes (60G18)

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Cited In (11)

• Moments and distributions of the last exit times for a class of Markov processes
• Rate of escape of conditioned Brownian motion
• On the distribution of exponential functionals for Lévy processes with jumps of rational transform
• Optimal prediction for positive self-similar Markov processes
• A law of iterated logarithm for increasing self-similar Markov processes
• Tail asymptotics for exponential functionals of Lévy processes: the convolution equivalent case
• Fluctuations of stable processes and exponential functionals of hypergeometric Lévy processes
• Entrance laws for positive self-similar Markov processes
• Continuous-State Branching Processes and Self-Similarity
• Exponential functionals of spectrally one-sided Lévy processes conditioned to stay positive
• On the density of exponential functionals of Lévy processes

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