Abstract
For any two-sided jumping α-stable process, where 1<α<2, we find an explicit identity for the law of the first hitting time of the origin. This complements existing work in the symmetric case and the spectrally one-sided case; cf. Yano-Yano-Yor (2009) and Cordero (2010), and Peskir (2008) respectively. We appeal to the Lamperti-Kiu representation of Chaumont-Panti-Rivero (2011) for real-valued self similar Markov processes. Our main result follows by considering a vector-valued functional equation for the Mellin transform of the integrated exponential Markov additive process in the Lamperti-Kiu representation. We conclude our presentation with some applications.
| Original language | English |
|---|---|
| Article number | 30 |
| Pages (from-to) | 1-26 |
| Journal | Electronic Journal of Probability |
| Volume | 19 |
| DOIs | |
| Publication status | Published - 9 Mar 2014 |
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