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Jump type SDEs for self-similar processes


 
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1. Title Title of document Jump type SDEs for self-similar processes
 
2. Creator Author's name, affiliation, country Leif Döring; Université Paris 6; France
 
2. Creator Author's name, affiliation, country Matyas Barczy; University of Debrecen; Hungary
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Lévy process, self-similar Markov process, Lamperti's transformation, jump type SDEs
 
3. Subject Subject classification Primary 60G18, 60H15; Secondary 60G51
 
4. Description Abstract

We present a new approach to positive self-similar Markov processes (pssMps) by reformulating Lamperti's transformation via jump type SDEs. As applications, we give direct constructions of pssMps (re)started continuously at zero if the Lamperti transformed Lévy process is spectrally negative. Our paper can be seen as a continuation of similar studies for continuous state branching processes.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2012-10-30
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/2402
 
10. Identifier Digital Object Identifier 10.1214/EJP.v17-2402
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 17
 
12. Language English=en en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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