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