Ito Excursion Theory for Self-Similar Markov Processes
Vuolle-Apiala, J.
Ann. Probab., Tome 22 (1994) no. 4, p. 546-565 / Harvested from Project Euclid
Let $X_t$ be an $\alpha$-self-similar Markov process on $(0, \infty)$ killed when hitting 0. $\alpha$-self-similar extensions of $X(t)$ to $\lbrack 0, \infty)$ are studied via Ito execusion theory (entrance laws). We give a condition that guarantees the existence of an extension, which either leaves 0 continuously (a.s.) or (a.s.) jumps from 0 to $(0, \infty)$ according to the "jumping in" measure $\eta(dx) = dx/x^{\beta+1}$. Two applications are given: the diffusion case and the "reflecting barrier process" of S. Watanabe.
Publié le : 1994-04-14
Classification:  Self-similar Markov processes,  entrance laws,  60J25
@article{1176988721,
     author = {Vuolle-Apiala, J.},
     title = {Ito Excursion Theory for Self-Similar Markov Processes},
     journal = {Ann. Probab.},
     volume = {22},
     number = {4},
     year = {1994},
     pages = { 546-565},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176988721}
}
Vuolle-Apiala, J. Ito Excursion Theory for Self-Similar Markov Processes. Ann. Probab., Tome 22 (1994) no. 4, pp.  546-565. http://gdmltest.u-ga.fr/item/1176988721/