Some explicit identities associated with positive self-similar Markov processes

L Chaumont, Andreas E Kyprianou, J C Pardo

Research output: Contribution to journalArticle

21 Citations (Scopus)
Original languageEnglish
Pages (from-to)980-1000
Number of pages21
JournalStochastic Processes and their Applications
Volume119
Issue number3
DOIs
Publication statusPublished - Mar 2009

Keywords

  • First hitting time
  • Exponential functional
  • Conditioned stable Levy processes
  • Positive self-similar Markov processes
  • First exit time
  • Lamperti representation

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