On the existence of recurrent extensions of self-similar Markov processes

被引：24

作者：

Fitzsimmons, P. J. ^{[1
]}

机构：

[1] Univ Calif San Diego, Dept Math, La Jolla, CA 92093 USA

来源：

ELECTRONIC COMMUNICATIONS IN PROBABILITY | 2006年 / 11卷

关键词：

self-similar; semi-stable; Lamperti transformation; recurrent extension; Cramer condition; excursion;

D O I：

10.1214/ECP.v11-1222

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：

Let X = (X-t)(t >= 0) be a self-similar Markov process with values in [0, infinity[, such that the state 0 is a trap. We present a necessary and sufficient condition for the existence of a self-similar recurrent extension of X that leaves 0 continuously. This condition is expressed in terms of the Levy process associated with X by the Lamperti transformation.

引用

页码：230 / 241

页数：12

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