A Ciesielski-Taylor type identity for positive self-similar Markov processes
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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.
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Cited in
(9)- 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
- The extended hypergeometric class of Lévy processes
- 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
- Stable Lévy processes, self-similarity and the unit ball
- Turán inequalities and complete monotonicity for a class of entire functions
- A transformation for spectrally negative Lévy processes and applications
- Occupation times of spectrally negative Lévy processes with applications
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