The Lamperti representation of real-valued self-similar Markov processes

被引:37
作者
Chaumont, Loic [1 ]
Panti, Henry [2 ]
Rivero, Victor [2 ]
机构
[1] Univ Angers, Dept Math, LAREMA, F-49045 Angers 01, France
[2] Ctr Invest Matemat CIMAT AC, Guanajuato 36240, Mexico
关键词
Lamperti representation; Levy processes; multiplicative invariant processes; self-similar Markov processes; LEVY PROCESSES;
D O I
10.3150/12-BEJ460
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
In this paper, we obtain a Lamperti type representation for real-valued self-similar Markov processes, killed at their hitting time of zero. Namely, we represent real-valued self-similar Markov processes as time changed multiplicative invariant processes. Doing so, we complete Kiu's work [Stochastic Process. Appl. 10 (1980) 183-191], following some ideas in Chybiryakov [Stochastic Process. Appl. 116 (2006) 857-872] in order to characterize the underlying processes in this representation. We provide some examples where the characteristics of the underlying processes can be computed explicitly.
引用
收藏
页码:2494 / 2523
页数:30
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