English

$\alpha$-stable L\'evy processes entering the half space or a slab

Probability 2024-07-31 v1

Abstract

Recent fluctuation identities for α\alpha-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 dd-dimensional isotropic α\alpha-stable L\'evy processes in terms of orthogonal coordinates. Accordingly we are able to develop a number of nn-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 (1,1)×Rd1(-1, 1)\times \mathbb{R}^{d-1} using a walk-on-half-spaces Monte Carlo approach.

Keywords

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

R2 v1 2026-06-28T17:57:31.891Z