Recurrent Extensions of Self-Similar Markov Processes and Cramér's Condition II

We prove that a positive self-similar Markov process (X, ${\Bbb P}$ ) that hits 0 in a finite time admits a self-similar recurrent extension that leaves 0 continuously if and only if the underlying Lévy process satisfies Cramér's condition.

Bibliographische Detailangaben
Veröffentlicht in:Bernoulli. - International Statistical Institute and Bernoulli Society for Mathematical Statistics and Probability, 1995. - 13(2007), 4, Seite 1053-1070
1. Verfasser: Rivero, Víctor (VerfasserIn)
Format: Online-Aufsatz
Sprache:English
Veröffentlicht: 2007
Zugriff auf das übergeordnete Werk:Bernoulli
Schlagworte:Excursion theory Exponential functionals of Lévy processes Lamperti's transformation Lévy processes Self-similar Markov processes Mathematics Philosophy Law Behavioral sciences