On Lévy processes conditioned to avoid zero
نویسندگان
چکیده
منابع مشابه
Conditioned stable Lévy processes and Lamperti representation . February 2 , 2008
By killing a stable Lévy process when it leaves the positive half-line, or by conditioning it to stay positive, or by conditioning it to hit 0 continuously, we obtain three different positive self-similar Markov processes which illustrate the three classes described by Lamperti [10]. For each of these processes, we compute explicitly the infinitesimal generator from which we deduce the characte...
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ژورنال
عنوان ژورنال: Latin American Journal of Probability and Mathematical Statistics
سال: 2017
ISSN: 1980-0436
DOI: 10.30757/alea.v14-32