### Abstract

In recent work, Chaumont et al. (2013) showed that is possible to condition a stable process with index α∈(1,2) to avoid the origin. Specifically, they describe a new Markov process which is the Doob h-transform of a stable process and which arises from a limiting procedure in which the stable process is conditioned to have avoided the origin at later and later times. A stable process is a particular example of a real self-similar Markov process (rssMp) and we develop the idea of such conditionings further to the class of rssMp. Under appropriate conditions, we show that the specific case of conditioning to avoid the origin corresponds to a classical Cramér–Esscher-type transform to the Markov Additive Process (MAP) that underlies the Lamperti–Kiu representation of a rssMp. In the same spirit, we show that the notion of conditioning a rssMp to continuously absorb at the origin also fits the same mathematical framework. In particular, we characterise the stable process conditioned to continuously absorb at the origin when α∈(0,1). Our results also complement related work for positive self-similar Markov processes in Chaumont and Rivero (2007).

Language | English |
---|---|

Pages | 954-977 |

Number of pages | 24 |

Journal | Stochastic Processes and their Applications |

Volume | 129 |

Issue number | 3 |

Early online date | 18 Apr 2018 |

DOIs | |

Status | Published - 31 Mar 2019 |

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### ASJC Scopus subject areas

- Statistics and Probability
- Modelling and Simulation
- Applied Mathematics

### Cite this

*Stochastic Processes and their Applications*,

*129*(3), 954-977. https://doi.org/10.1016/j.spa.2018.04.001

**Conditioned real self-similar Markov processes.** / Kyprianou, Andreas; Rivero Mercado, Victor; Satitkanitkul, Weerapat.

Research output: Contribution to journal › Article

*Stochastic Processes and their Applications*, vol. 129, no. 3, pp. 954-977. https://doi.org/10.1016/j.spa.2018.04.001

}

TY - JOUR

T1 - Conditioned real self-similar Markov processes

AU - Kyprianou, Andreas

AU - Rivero Mercado, Victor

AU - Satitkanitkul, Weerapat

PY - 2019/3/31

Y1 - 2019/3/31

N2 - In recent work, Chaumont et al. (2013) showed that is possible to condition a stable process with index α∈(1,2) to avoid the origin. Specifically, they describe a new Markov process which is the Doob h-transform of a stable process and which arises from a limiting procedure in which the stable process is conditioned to have avoided the origin at later and later times. A stable process is a particular example of a real self-similar Markov process (rssMp) and we develop the idea of such conditionings further to the class of rssMp. Under appropriate conditions, we show that the specific case of conditioning to avoid the origin corresponds to a classical Cramér–Esscher-type transform to the Markov Additive Process (MAP) that underlies the Lamperti–Kiu representation of a rssMp. In the same spirit, we show that the notion of conditioning a rssMp to continuously absorb at the origin also fits the same mathematical framework. In particular, we characterise the stable process conditioned to continuously absorb at the origin when α∈(0,1). Our results also complement related work for positive self-similar Markov processes in Chaumont and Rivero (2007).

AB - In recent work, Chaumont et al. (2013) showed that is possible to condition a stable process with index α∈(1,2) to avoid the origin. Specifically, they describe a new Markov process which is the Doob h-transform of a stable process and which arises from a limiting procedure in which the stable process is conditioned to have avoided the origin at later and later times. A stable process is a particular example of a real self-similar Markov process (rssMp) and we develop the idea of such conditionings further to the class of rssMp. Under appropriate conditions, we show that the specific case of conditioning to avoid the origin corresponds to a classical Cramér–Esscher-type transform to the Markov Additive Process (MAP) that underlies the Lamperti–Kiu representation of a rssMp. In the same spirit, we show that the notion of conditioning a rssMp to continuously absorb at the origin also fits the same mathematical framework. In particular, we characterise the stable process conditioned to continuously absorb at the origin when α∈(0,1). Our results also complement related work for positive self-similar Markov processes in Chaumont and Rivero (2007).

UR - http://www.scopus.com/inward/record.url?scp=85046756994&partnerID=8YFLogxK

U2 - 10.1016/j.spa.2018.04.001

DO - 10.1016/j.spa.2018.04.001

M3 - Article

VL - 129

SP - 954

EP - 977

JO - Stochastic Processes and their Applications

T2 - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

SN - 0304-4149

IS - 3

ER -