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In this paper we study the α-stable continuous-state branching processes (for α ∈ (1, 2]) and the α-stable continuous-state branching processes conditioned never to become extinct in the light of positive self-similarity. Understanding the interaction of the Lamperti transformation for continuous-state branching processes and the Lamperti transformation for positive, self-similar Markov processes gives access to a number of explicit results concerning the paths of α-stable continuous-state branching processes and α-stable continuous-state branching processes conditioned never to become extinct.
|Number of pages||21|
|Journal||Journal of Applied Probability|
|Publication status||Published - Dec 2008|
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- 1 Finished
LEVY PROCESSES OPTIMAL STOPPING PROBLEMS AND STOCHASTIC GAME S
Engineering and Physical Sciences Research Council
1/01/07 → 31/12/09
Project: Research council