A temporal factorization at the maximum for certain positive self-similar Markov processes

被引:1
作者
Vidmar, Matija [1 ]
机构
[1] Univ Ljubljana, Dept Math, Fac Math & Phys, Jadranska Ul 21, Ljubljana 1000, Slovenia
关键词
spectrally negative Levy processes; positive self-similar Markov processes; splitting at the maximum; Wiener-Hopf factorization; martingales; time-changes; LEVY PROCESSES;
D O I
10.1017/jpr.2020.62
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
For a spectrally negative self-similarMarkov process on [0, infinity) with an a.s. finite overall supremum, we provide, in tractable detail, a kind of conditional Wiener-Hopf factorization at the maximum of the absorption time at zero, the conditioning being on the overall supremum and the jump at the overall supremum. In a companion result the Laplace transform of this absorption time (on the event that the process does not go above a given level) is identified under no other assumptions (such as the process admitting a recurrent extension and/or hitting zero continuously), generalizing some existing results in the literature.
引用
收藏
页码:1045 / 1069
页数:25
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