Some explicit identities associated with positive self-similar Markov processes

L Chaumont; Andreas E Kyprianou; J C Pardo

doi:10.1016/j.spa.2008.05.001

Some explicit identities associated with positive self-similar Markov processes

L Chaumont, Andreas E Kyprianou, J C Pardo

Research output: Contribution to journal › Article › peer-review

27 Citations (SciVal)

Original language	English
Pages (from-to)	980-1000
Number of pages	21
Journal	Stochastic Processes and their Applications
Volume	119
Issue number	3
DOIs	https://doi.org/10.1016/j.spa.2008.05.001
Publication status	Published - 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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10.1016/j.spa.2008.05.001

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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 = mar,

doi = "10.1016/j.spa.2008.05.001",

language = "English",

volume = "119",

pages = "980--1000",

journal = "Stochastic Processes and their Applications",

issn = "0304-4149",

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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

SN - 0304-4149

VL - 119

SP - 980

EP - 1000

JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

IS - 3

ER -

Some explicit identities associated with positive self-similar Markov processes

Keywords

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LEVY PROCESSES OPTIMAL STOPPING PROBLEMS AND STOCHASTIC GAME S

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Some explicit identities associated with positive self-similar Markov processes

Keywords

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LEVY PROCESSES OPTIMAL STOPPING PROBLEMS AND STOCHASTIC GAME S

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