A Ciesielski-Taylor type identity for positive self-similar Markov processes

DOI10.1214/10-AIHP398zbMATH Open1231.60031arXiv0908.1157OpenAlexW2002988499MaRDI QIDQ720747FDOQ720747

Authors: A. E. Kyprianou, Pierre Patie 

Publication date: 11 October 2011

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Abstract: The aim of this note is to give a straightforward proof of a general version of the Ciesielski-Taylor identity for positive self-similar Markov processes of the spectrally negative type which umbrellas all previously known Ciesielski-Taylor identities within the latter class. The approach makes use of three fundamental features. Firstly a new transformation which maps a subset of the family of Laplace exponents of spectrally negative L'evy processes into itself. Secondly some classical features of fluctuation theory for spectrally negative L'evy processes as well as more recent fluctuation identities for positive self-similar Markov processes.

Full work available at URL: https://arxiv.org/abs/0908.1157

Recommendations

• Symmetric stable processes, fubinfs theorem, and some extensions of the ciesielski-taylor identities in law
• Some explicit identities associated with positive self-similar Markov processes
• A jump-type SDE approach to real-valued self-similar Markov processes
• Jump type SDEs for self-similar processes
• Time-changes of self-similar Markov processes

zbMATH Keywords

Bessel processesCiesielski-Taylor identityLamperti-stable processespositive self-similar Markov processspectrally negative Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52) Self-similar stochastic processes (60G18)

Cites Work

• Introductory lectures on fluctuations of Lévy processes with applications.
• Title not available (Why is that?)
• Semigroups of linear operators and applications to partial differential equations
• Title not available (Why is that?)
• Excursions of Brownian motion and bessel processes
• First Passage times and Sojourn Times for Brownian Motion in Space and the Exact Hausdorff Measure of the Sample Path
• Conditioned stable Lévy processes and the Lamperti representation
• Semi-stable Markov processes. I
• Beta-gamma random variables and intertwining relations between certain Markov processes
• Recurrent extensions of self-similar Markov processes and Cramér's condition
• Weak convergence of positive self-similar Markov processes and overshoots of Lévy processes
• Exponential functional of a new family of Lévy processes and self-similar continuous state branching processes with immigration
• The entrance laws of self-similar Markov processes and exponential functionals of Lévy processes
• Infinite divisibility of solutions to some self-similar integro-differential equations and exponential functionals of Lévy processes
• On the existence of recurrent extensions of self-similar Markov processes
• Smoothness of scale functions for spectrally negative Lévy processes
• Some explicit identities associated with positive self-similar Markov processes
• Title not available (Why is that?)
• An explanation of the Ciesielski-Taylor theorem
• Title not available (Why is that?)
• An extension of Pitman's theorem for spectrally positive Lévy processes

Cited In (9)

• Hitting distributions of \(\alpha\)-stable processes via path censoring and self-similarity
• Intertwining, excursion theory and Krein theory of strings for non-self-adjoint Markov semigroups
• Symmetric stable processes, fubinfs theorem, and some extensions of the ciesielski-taylor identities in law
• Occupation times of spectrally negative Lévy processes with applications
• Some explicit identities associated with positive self-similar Markov processes
• The extended hypergeometric class of Lévy processes
• A transformation for spectrally negative Lévy processes and applications
• Turán inequalities and complete monotonicity for a class of entire functions
• Stable Lévy processes, self-similarity and the unit ball

This page was built for publication: A Ciesielski-Taylor type identity for positive self-similar Markov processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q720747)