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

Cite this

Some explicit identities associated with positive self-similar Markov processes. / Chaumont, L; Kyprianou, Andreas E; Pardo, J C.

In: Stochastic Processes and their Applications, Vol. 119, No. 3, 03.2009, p. 980-1000.

Research output: Contribution to journalArticle

@article{3dc8fb1e207d460b976ecdf65b41fad1,
title = "Some explicit identities associated with positive self-similar Markov processes",
keywords = "First hitting time, Exponential functional, Conditioned stable Levy processes, Positive self-similar Markov processes, First exit time, Lamperti representation",
author = "L Chaumont and Kyprianou, {Andreas E} and Pardo, {J C}",
year = "2009",
month = "3",
doi = "10.1016/j.spa.2008.05.001",
language = "English",
volume = "119",
pages = "980--1000",
journal = "Stochastic Processes and their Applications",
issn = "0304-4149",
publisher = "Elsevier",
number = "3",

}

TY - JOUR

T1 - Some explicit identities associated with positive self-similar Markov processes

AU - Chaumont, L

AU - Kyprianou, Andreas E

AU - Pardo, J C

PY - 2009/3

Y1 - 2009/3

KW - First hitting time

KW - Exponential functional

KW - Conditioned stable Levy processes

KW - Positive self-similar Markov processes

KW - First exit time

KW - Lamperti representation

UR - http://www.scopus.com/inward/record.url?scp=60549090265&partnerID=8YFLogxK

UR - http://dx.doi.org/10.1016/j.spa.2008.05.001

U2 - 10.1016/j.spa.2008.05.001

DO - 10.1016/j.spa.2008.05.001

M3 - Article

VL - 119

SP - 980

EP - 1000

JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

SN - 0304-4149

IS - 3

ER -