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Conditioned Stable Lévy Processes and the Lamperti Representation

Autor: Caballero, M. E., Chaumont, L.

Publikováno v: Journal of Applied Probability, 2006 Dec 01. 43(4), 967-983.

Externí odkaz: https://www.jstor.org/stable/27595793

Discretization of the Lamperti representation of a positive self-similar Markov process

Autor: Jakob D. Thøstesen, Jevgenijs Ivanovs

Publikováno v: Ivanovs, J & Thøstesen, J D 2021, ' Discretization of the Lamperti representation of a positive self-similar Markov process ', Stochastic Processes and Their Applications, vol. 137, pp. 200-221 . https://doi.org/10.1016/j.spa.2021.03.013

This paper considers discretization of the Levy process appearing in the Lamperti representation of a strictly positive self-similar Markov process. Limit theorems for the resulting approximation are established under some regularity assumptions on t

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::79d123919688a5d0bd6df794524e5c8f
http://arxiv.org/abs/2006.09115

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Potentials of stable processes

Autor: A. E. Kyprianou & A. R. Watson

For a stable process, we give an explicit formula for the potential measure of the process killed outside a bounded interval and the joint law of the overshoot, undershoot and undershoot from the maximum at exit from a bounded interval. We obtain the

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=od______2295::1e8146dd8999607b6a650017e929d066
http://www.manchester.ac.uk/escholar/uk-ac-man-scw:290431