$\alpha$-stable L\'evy processes entering the half space or a slab
Probability
2024-07-31 v1
Abstract
Recent fluctuation identities for -stable L\'evy processes have decomposed paths using generalised spherical polar coordinates revealing an underlying Markov Additive Process (MAP) for which a more advanced form of excursion theory can be exploited. Inspired by this approach, we give a different decomposition of the -dimensional isotropic -stable L\'evy processes in terms of orthogonal coordinates. Accordingly we are able to develop a number of -tuple laws for first entrance into a half-space. We also numerically construct the law of first entry of the process into a slab of the form using a walk-on-half-spaces Monte Carlo approach.
Cite
@article{arxiv.2407.20394,
title = {$\alpha$-stable L\'evy processes entering the half space or a slab},
author = {Andreas E. Kyprianou and Sonny Medina and Juan Carlos Pardo},
journal= {arXiv preprint arXiv:2407.20394},
year = {2024}
}
Comments
5 figures