Entrance laws at the origin of self-similar Markov processes in high dimensions

Andreas Kyprianou, Victor Rivero Mercado, Bati Sengul, Ting Yang

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Abstract

In this paper we consider the problem of finding entrance laws at the origin for self-similar Markov processes in Rd, killed upon hitting the origin. Under suitable assumptions, we show the existence of an entrance law and the convergence to this law when the process is started close to the origin. We obtain an explicit description of the process started from the origin as the time reversal of the original self-similar Markov process conditioned to hit the origin.
Original languageEnglish
Pages (from-to)6227-6299
Number of pages57
JournalTransactions of the American Mathematical Society
Volume373
Issue number9
Early online date3 Jul 2020
DOIs
Publication statusPublished - 30 Sep 2020

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