Recurrent extensions of self-similar Markov processes and Cramer's condition II

被引：29

作者：

Rivero, Victor ^{[1
]}

机构：

[1] CIMAT AC, Guanajuato 36240, Mexico

来源：

BERNOULLI | 2007年 / 13卷 / 04期

关键词：

excursion theory; exponential functionals of Levy processes; Lamperti's transformation; Levy processes; self-similar Markov processes;

D O I：

10.3150/07-BEJ6082

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：

We prove that a positive self-similar Markov process (X, P) that hits 0 in a finite time admits a self-similar recurrent extension that leaves 0 continuously if and only if the underlying Levy process satisfies Cramer's condition.

引用

页码：1053 / 1070

页数：18

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