Deep factorisation of the stable process II

potentials and applications

Andreas Kyprianou, Victor Rivero Mercado, Bati Sengul

Research output: Contribution to journalArticle

4 Citations (Scopus)

Abstract

Here, we propose a different perspective of the deep factorisation in (Electron. J. Probab. 21 (2016) Paper No. 23, 28) based on determining potentials. Indeed, we factorise the inverse of the MAP-exponent associated to a stable process via the Lamperti-Kiu transform. Here our factorisation is completely independent from the derivation in (Electron. J. Probab. 21 (2016) Paper No. 23, 28), moreover there is no clear way to invert the factors in (Electron. J. Probab. 21 (2016) Paper No. 23, 28) to derive our results. Our method gives direct access to the potential densities of the ascending and descending ladder MAP of the Lamperti-stable MAP in closed form. In the spirit of the interplay between the classical Wiener-Hopf factorisation and the fluctuation theory of the underlying Lévy process, our analysis will produce a collection of new results for stable processes. We give an identity for the law of the point of closest reach to the origin for a stable process with index α € (0, 1) as well as an identity for the the law of the point of furthest reach before absorption at the origin for a stable process with index α€ (1, 2). Moreover, we show how the deep factorisation allows us to compute explicitly the limiting distribution of stable processes multiplicatively reflected in such a way that it remains in the strip [-1, 1].

Original languageEnglish
Pages (from-to)343-362
Number of pages20
JournalAnnales de l'Institut Henri Poincaré: Probabilités et Statistiques
Volume54
Issue number1
DOIs
Publication statusPublished - 1 Feb 2018

Keywords

  • Radial reflection
  • Self-similar Markov processes
  • Stable processes
  • Wiener-Hopf factorisation

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

Cite this

Deep factorisation of the stable process II : potentials and applications. / Kyprianou, Andreas; Rivero Mercado, Victor; Sengul, Bati.

In: Annales de l'Institut Henri Poincaré: Probabilités et Statistiques, Vol. 54, No. 1, 01.02.2018, p. 343-362.

Research output: Contribution to journalArticle

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