A Jump Type SDE Approach to Positive Self-Similar Markov Processes
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Publication:6229016
DOI10.1214/EJP.V17-2402arXiv1111.3235MaRDI QIDQ6229016FDOQ6229016
Authors: Leif Döring, Mátyás Barczy 
Publication date: 14 November 2011
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.
Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Self-similar stochastic processes (60G18)
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