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

页码：1426 / 1436

页数：11

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