English

A temporal factorization at the maximum for spectrally negative positive self-similar Markov processes

Probability 2018-05-16 v2

Abstract

For a spectrally negative positive self-similar Markov process with an a.s. finite overall supremum we provide, in tractable detail, a kind of conditional Wiener-Hopf factorization at the maximum of the absorption time at zero, the conditioning being on the overall supremum and the jump at the overall supremum. In a companion result the Laplace transform of said absorption time (on the event that the process does not go above a given level) is identified under no other assumptions (such as the process admitting a recurrent extension and/or hitting zero continuously), generalizing some existent results in the literature.

Keywords

Cite

@article{arxiv.1805.04036,
  title  = {A temporal factorization at the maximum for spectrally negative positive self-similar Markov processes},
  author = {Matija Vidmar},
  journal= {arXiv preprint arXiv:1805.04036},
  year   = {2018}
}

Comments

20 pages, 1 figure

R2 v1 2026-06-23T01:51:10.245Z