MOMENTS OF PASSAGE TIMES AND ASYMPTOTIC BEHAVIOR OF INCREASING SELF-SIMILAR MARKOV PROCESSES

被引：0
|
作者：
Hu, Wei [1 ,2 ]
Liu, Luqin [2 ]
机构：
[1] Jiangsu Univ Technol, Dept Math, Changzhou 213001, Peoples R China
[2] Wuhan Univ, Sch Math & Stat, Wuhan 430072, Peoples R China
来源：
ACTA MATHEMATICA SCIENTIA | 2015年 / 35卷 / 06期
基金：
中国国家自然科学基金;
关键词：
self-similar process; Markov process; Levy process; subordinator; passage time; moment; LEVY PROCESSES; ENTRANCE;
D O I：
10.1016/S0252-9602(15)30064-3
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
By using Lamperti's bijection between self-similar Markov processes and Levy processes, we prove finiteness of moments and asymptotic behavior of passage times for increasing self-similar Markov processes valued in (0, infinity). We also investigate the behavior of the process when it crosses a level. A limit theorem concerning the distribution of the process immediately before it crosses some level is proved. Some useful examples are given.
引用
收藏
页码：1426 / 1436
页数：11
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