- Library Home /
- Search Collections /
- Open Collections /
- Browse Collections /
- BIRS Workshop Lecture Videos /
- Recurrent extensions of real self-similar Markov processes
Open Collections
BIRS Workshop Lecture Videos
BIRS Workshop Lecture Videos
Recurrent extensions of real self-similar Markov processes Pantí, Henry
Description
In this talk, we present a necessary and sufficient condition for the existence of recurrent extensions of real self-similar Markov processes. The condition is expressed in terms of the associated Markov additive process via the Lamperti-Kiu representation. To be precise, our main result ensures that a real self-similar Markov process with a finite hitting time of the point zero has a recurrent extension that leaves 0 continuously if and only if the MAP associated, via Lamperti transformation, satisfies the Cramér's condition. In doing so, we solve an old problem originally posed by Lamperti for positive self-similar Markov processes. We generalize Rivero’s (2005, 2007) and Fitzsimmons’s (2006) results to real-valued case. Finally, we describe the recurrent extension of a stable Lévy process.
Item Metadata
| Title |
Recurrent extensions of real self-similar Markov processes
|
| Creator | |
| Publisher |
Banff International Research Station for Mathematical Innovation and Discovery
|
| Date Issued |
2016-11-07T15:30
|
| Description |
In this talk, we present a necessary and sufficient condition for the existence of recurrent extensions of real self-similar Markov processes. The condition is expressed in terms of the associated Markov additive process via the Lamperti-Kiu representation. To be precise, our main result ensures that a real self-similar Markov process with a finite hitting time of the point zero has a recurrent extension that leaves 0 continuously if and only if the MAP associated, via Lamperti transformation, satisfies the Cramér's condition. In doing so, we solve an old problem originally posed by Lamperti for positive self-similar Markov processes. We generalize Rivero’s (2005, 2007) and Fitzsimmons’s (2006) results to real-valued case. Finally, we describe the recurrent extension of a stable Lévy process.
|
| Extent |
31 minutes
|
| Subject | |
| Type | |
| File Format |
video/mp4
|
| Language |
eng
|
| Notes |
Author affiliation: UADY
|
| Series | |
| Date Available |
2017-06-16
|
| Provider |
Vancouver : University of British Columbia Library
|
| Rights |
Attribution-NonCommercial-NoDerivatives 4.0 International
|
| DOI |
10.14288/1.0348326
|
| URI | |
| Affiliation | |
| Peer Review Status |
Unreviewed
|
| Scholarly Level |
Faculty
|
| Rights URI | |
| Aggregated Source Repository |
DSpace
|
Item Media
Item Citations and Data
Rights
Attribution-NonCommercial-NoDerivatives 4.0 International