| Título: | Jump type SDEs for self-similar processes |
| Autores: |
Döring, Leif; Université Paris 6 Barczy, Matyas; University of Debrecen |
| Fecha: | 2012-01-01 |
| Publicador: | Electronic journal of probability |
| Fuente: |
 |
| Tipo: | Peer-reviewed Article |
| Tema: |
Lévy process, self-similar Markov process, Lamperti's transformation, jump type SDEs Primary 60G18, 60H15; Secondary 60G51 |
| Descripción: | We present a new approach to positive self-similar Markov processes (pssMps) by reformulating Lamperti's transformation via jump type SDEs. As applications, we give direct constructions of pssMps (re)started continuously at zero if the Lamperti transformed Lévy process is spectrally negative. Our paper can be seen as a continuation of similar studies for continuous state branching processes. |
| Idioma: | Inglés |
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