Fluctuation theory and exit systems for positive self-similar Markov processes

DOI10.1214/10-AOP612zbMATH Open1241.60019arXiv0812.2506MaRDI QIDQ662432FDOQ662432

Authors: Loïc Chaumont, A. E. Kyprianou, J. C. Pardo, Víctor Manuel Rivero 

Publication date: 22 February 2012

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: For a positive self-similar Markov process, X, we construct a local time for the random set, $Theta$, of times where the process reaches its past supremum. Using this local time we describe an exit system for the excursions of X out of its past supremum. Next, we define and study the ladder process (R,H) associated to a positive self-similar Markov process X, namely a bivariate Markov process with a scaling property whose coordinates are the right inverse of the local time of the random set $Theta$ and the process X sampled on the local time scale. The process (R,H) is described in terms of a ladder process linked to the L'{e}vy process associated to X via Lamperti's transformation. In the case where X never hits 0, and the upward ladder height process is not arithmetic and has finite mean, we prove the finite-dimensional convergence of (R,H) as the starting point of X tends to 0. Finally, we use these results to provide an alternative proof to the weak convergence of X as the starting point tends to 0. Our approach allows us to address two issues that remained open in Caballero and Chaumont [Ann. Probab. 34 (2006) 1012-1034], namely, how to remove a redundant hypothesis and how to provide a formula for the entrance law of X in the case where the underlying L'{e}vy process oscillates.

Full work available at URL: https://arxiv.org/abs/0812.2506

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zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+processes&go=Go L��vy processes]excursion theoryLamperti transformationentrance lawsladder processespositive self-similar Markov processesexit systems

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Sample path properties (60G17) Local time and additive functionals (60J55) Self-similar stochastic processes (60G18)

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Cited In (21)

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