A Jump Type SDE Approach to Positive Self-Similar Markov Processes

DOI10.1214/EJP.V17-2402MaRDI QIDQ6229016arXivFDO

Authors Leif Döring, Mátyás Barczy

Publication date 14 November 2011

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Self-similar stochastic processes (60G18)

Abstract: We present a new approach to positive self-similar Markov processes (pssMps) by reformulating Lamperti's transformation via jump type SDEs. As applications, we give direct constructions of pssMps (re)started continuously at zero if the Lamperti transformed Levy process is spectrally negative. Our paper can be seen as a continuation of similar studies for continuous state branching processes but the approach seems to be more fruitful in the context of pssMps.

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